A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs
成果类型：
Article
署名作者：
De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John
署名单位：
University of Leeds; University of Bielefeld; University of London; Queen Mary University London
刊物名称：
MATHEMATICS OF OPERATIONS RESEARCH
ISSN/ISSBN：
0364-765X
DOI：
10.1287/moor.2018.0934
发表日期：
2019
页码：
512-531
关键词：
摘要：
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate nonconvex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a stochastic real-valued spot price modelled by Brownian motion. We find analytical expressions for the value function, the optimal control, and the boundaries of the action and inaction regions. The optimal policy is characterised in terms of two monotone and discontinuous repelling free boundaries, although part of one boundary is constant and the smooth fit condition holds there.
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