Bruno Bouchard, Patrick Cheridito, Ying Hu
Published 2018-01-10Version 1
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.
Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
On the Location of the Minimizer of the Sum of Strongly Convex Functions
A mixed singular/switching control problem with gradient constraint and terminal cost for a modulated diffusion
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