On a Class of Infinite-Dimensional Singular Stochastic Control Problems

Federico S, Ferrari G, Riedel F, Röckner M (2019) Center for Mathematical Economics Working Papers; 614.
Bielefeld: Center for Mathematical Economics.

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Diskussionspapier | Veröffentlicht | Englisch
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Abstract / Bemerkung
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered infinite-dimensional space X, it takes values in the positive cone of X, and it has right-continuous and nondecreasing paths. We first provide a rigorous formulation of the problem by properly defining the controlled dynamics and integrals with respect to the control process. We then exploit the concave structure of our problem and derive necessary and sufficient first-order conditions for optimality. The latter are finally exploited in a specification of the model where we find an explicit expression of the optimal control. The techniques used are those of semigroup theory, vector-valued integration, convex analysis, and general theory of stochastic processes.
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22
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Federico S, Ferrari G, Riedel F, Röckner M. On a Class of Infinite-Dimensional Singular Stochastic Control Problems. Center for Mathematical Economics Working Papers. Vol 614. Bielefeld: Center for Mathematical Economics; 2019.
Federico, S., Ferrari, G., Riedel, F., & Röckner, M. (2019). On a Class of Infinite-Dimensional Singular Stochastic Control Problems (Center for Mathematical Economics Working Papers, 614). Bielefeld: Center for Mathematical Economics.
Federico, S., Ferrari, G., Riedel, F., and Röckner, M. (2019). On a Class of Infinite-Dimensional Singular Stochastic Control Problems. Center for Mathematical Economics Working Papers, 614, Bielefeld: Center for Mathematical Economics.
Federico, S., et al., 2019. On a Class of Infinite-Dimensional Singular Stochastic Control Problems, Center for Mathematical Economics Working Papers, no.614, Bielefeld: Center for Mathematical Economics.
S. Federico, et al., On a Class of Infinite-Dimensional Singular Stochastic Control Problems, Center for Mathematical Economics Working Papers, vol. 614, Bielefeld: Center for Mathematical Economics, 2019.
Federico, S., Ferrari, G., Riedel, F., Röckner, M.: On a Class of Infinite-Dimensional Singular Stochastic Control Problems. Center for Mathematical Economics Working Papers, 614. Center for Mathematical Economics, Bielefeld (2019).
Federico, Salvatore, Ferrari, Giorgio, Riedel, Frank, and Röckner, Michael. On a Class of Infinite-Dimensional Singular Stochastic Control Problems. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 614.
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2019-04-26T09:44:56Z

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