ISSN:
1573-2878
Keywords:
Singular stochastic control
;
finite-fuel problems
;
dynamic programming
;
convex duality
;
variational inequalities
;
smooth subsolutions
;
strong and weak problems
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract Upon introducing a finite-fuel constraint in a stochastic control system, the convex duality formulation can be set up to represent the original singular control problem as a minimization problem over the space of vector measures at each level of available fuel. This minimization problem is imbedded tightly into a related weak problem, which is actually a mathematical programming problem over a convex,w*-compact space of vector-valued Radon measures. Then, through the Fenchel duality principle, the dual for the finite-fuel control problems is to seek the maximum of smooth subsolutions to a dynamic programming variational inequality. The approach is basically in the spirit of Fleming and Vermes, and the results of this paper extend those of Vinter and Lewis in deterministic control problems to the finite-fuel problems in singular stochastic control. Meanwhile, we also obtain the characterization of the value function as a solution to the dynamic programming variational inequality in the sense of the Schwartz distribution.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00939910
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