关于遍历双边奇异控制问题
On an Ergodic Two-Sided Singular Control Problem
摘要：
受自然资源管理、风险管理和金融等领域应用的启发，本文研究了一般一维扩散过程的遍历双边奇异控制问题。控制是由一个有界变差过程。在较弱的条件下，利用消失折扣法得到了系统的最优报酬值和最优控制策略。此外，建立了阿贝尔和切萨罗极限。最后给出了一种直接求解的方法。
英文摘要：
Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a bounded variation process. Under some mild conditions, the optimal reward value as well as an optimal control policy are derived by the vanishing discount method. Moreover, the Abelian and Cesàro limits are established. Then a direct solution approach is provided at the end of the paper.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
