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arXiv · 2108.05500

On an Ergodic Two-Sided Singular Control Problem

Khwanchai Kunwai·Fubao Xi·George Yin·Chao Zhu
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Abstract

Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a bounded variation process. Under some mild conditions, the optimal reward value as well as an optimal control policy are derived by the vanishing discount method. Moreover, the Abelian and Ces\`aro limits are established. Then a direct solution approach is provided at the end of the paper.

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Khwanchai Kunwai, Fubao Xi, George Yin, Chao Zhu. 2021-08-12. On an Ergodic Two-Sided Singular Control Problem. https://arxiv.org/abs/2108.05500

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