{
  "id": "1801.03336",
  "version": "v1",
  "published": "2018-01-10T12:18:56.000Z",
  "updated": "2018-01-10T12:18:56.000Z",
  "title": "BSDE formulation of combined regular and singular stochastic control problems",
  "authors": [
    "Bruno Bouchard",
    "Patrick Cheridito",
    "Ying Hu"
  ],
  "categories": [
    "math.OC"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2018-01-10T12:18:56.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "singular stochastic control problems",
      "bsde formulation",
      "original control problem",
      "gradient constraint",
      "markovian models"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}