BSDE formulation of combined regular and singular stochastic control problems
Résumé
In this paper we study a class of combined regular and singular stochastic control problems that can be expressed as constrained BSDEs. In the Markovian case, this reduces to a characterization through a PDE with gradient constraint. But the BSDE formulation makes it possible to move beyond Markovian models and consider path-dependent problems. We also provide an approximation of the original control problem with standard BSDEs that yield a characterization of approximately optimal values and controls.
| Origine | Fichiers produits par l'(les) auteur(s) |
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