A class of discounted models for singular diffusion control |
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| Authors: | Kunhui Liu Mingda Qin Chuanlai Lu |
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| Institution: | (1) College of Sciences, Northern Jiaotong University, 100044 Beijing, China;(2) Department of Mathematics and Mechanics, Beijing University of Science and Technology, 100083 Beijing, China;(3) Department of Information Engineering, Beijing University of Posts and Telecommunications, 100876 Beijing, China |
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| Abstract: | A kind of discounted problems for singular diffusion control have been studied. The drift and diffusion coefficients of state
process are nonlinear. The class of models has been basically extended from a corresponding one established by Karatzes et
al. before. By applying some analysis methods different from earlier works, the sufficient and necessary conditions of the
existence of optimal control have been obtained. If an optimal control exists, it is a “transient reflection” of state process
for two lines. |
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| Keywords: | stochastic control variational equation singular stochastic control |
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