DRIFT CONTROL WITH DISCRETIONARY STOPPING FOR A DIFFUSION

• 成果类型: Article
• 署名作者: Benes, Vaclav E.; Aitsgori, Georgy G.; Karatzas, Ioannis
• 署名单位: Columbia University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/25-AAP2173
• 发表日期: 2025
• 页码: 2217-2237
• 关键词: singular stochastic-control; martingale approach; game; INVESTMENT; OPTION

摘要

We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal cost in the presence of a fixed operating cost and a control-dependent running cost per unit of elapsed time. Under appropriate conditions on the coefficients of the controlled diffusion, an optimal pair of control and stopping rules is shown to exist. Moreover, under the same assumptions, it is shown that the optimal control is a constant which can be computed fairly explicitly; and that it is optimal to stop the first time an appropriate interval is visited. We consider also a constrained version of the above problem, in which an upper bound on the expectation of available stopping times is imposed; we show that this constrained problem can be reduced to an unconstrained problem with some appropriate change of parameters and, as a result, solved by similar arguments.