A singular control problem with an expected and a pathwise ergodic performance criterion

Jack, Andrew; Zervos, Mihail

doi:https://doi.org/10.1155/JAMSA/2006/82538

International Journal of Stochastic Analysis

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Volume 2006 | Article ID 082538 | https://doi.org/10.1155/JAMSA/2006/82538

A singular control problem with an expected and a pathwise ergodic performance criterion

Andrew Jack¹and Mihail Zervos¹

Received13 May 2005

Revised12 Apr 2006

Accepted13 Apr 2006

Published11 Jun 2006

Abstract

We consider the problem of controlling a general one-dimensional Itô diffusion by means of a finite-variation process. The objective is to minimise a long-term average expected criterion as well as a long-term pathwise criterion that penalise deviations of the underlying state process from a given nominal point as well as the expenditure of control effort. We solve the resulting singular stochastic control problems under general assumptions by identifying an optimal strategy that is explicitly characterised.

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Copyright

Copyright © 2006 Andrew Jack and Mihail Zervos. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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