A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
A Note on Asymptotics Between Singular and Constrained Control Problems of One-Dimensional Diffusions
Tekijät: Saarinen Harto, Lempa Jukka
Kustantaja: SPRINGER
Julkaisuvuosi: 2022
Journal: Acta Applicandae Mathematicae
Tietokannassa oleva lehden nimi: ACTA APPLICANDAE MATHEMATICAE
Lehden akronyymi: ACTA APPL MATH
Artikkelin numero: 13
Vuosikerta: 181
Numero: 1
Sivujen määrä: 17
ISSN: 0167-8019
eISSN: 1572-9036
DOI: https://doi.org/10.1007/s10440-022-00530-w
Verkko-osoite: https://link.springer.com/article/10.1007/s10440-022-00530-w
Rinnakkaistallenteen osoite: https://research.utu.fi/converis/portal/detail/Publication/176690885
We study the asymptotic relations between certain singular and constrained control problems for one-dimensional diffusions with both discounted and ergodic objectives. In the constrained control problems the controlling is allowed only at independent Poisson arrival times. We show that when the underlying diffusion is recurrent, the solutions of the discounted problems converge in Abelian sense to those of their ergodic counterparts. Moreover, we show that the solutions of the constrained problems converge to those of their singular counterparts when the Poisson rate tends to infinity. We illustrate the results with drifted Brownian motion and Ornstein-Uhlenbeck process.
Ladattava julkaisu This is an electronic reprint of the original article. |  |
