Advanced Search
Article Contents
Article Contents

Singular control and impulse control: A common approach

Abstract Related Papers Cited by
  • In this study, we investigate the connection between impulse control and singular control. The dynamic systems are driven by Brownian motion with drift. For simplicity we consider only one-dimension problems, where we can perform explicit calculations. We will see that Quasi-Variational Inequalities (QVI) are the common tool to consider these problems. The two problems have interesting links. By some aspects, singular control problems appear as particular cases of impulse control problems; however an impulse control is a particular case of singular control. We can, in particular, approximate an optimal singular control by a minimizing sequence of impulse controls. We show that optimal singular controls are linked to reflected diffusions. Thanks to the one-dimensionality we completely solve the QVI by the two band approach.
    Mathematics Subject Classification: Primary: 93E20, 60J70; Secondary: 90B05.


    \begin{equation} \\ \end{equation}
  • 加载中

Article Metrics

HTML views() PDF downloads(336) Cited by(0)

Access History

Other Articles By Authors



    DownLoad:  Full-Size Img  PowerPoint