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January  2010, 13(1): 27-57. doi: 10.3934/dcdsb.2010.13.27

Singular control and impulse control: A common approach

Alain Bensoussan 1, , John Liu 2, and  Jiguang Yuan 2,

1. 

International Center for Decision and Risk Analysis, School of Management, University of Texas - Dallas, United States
2. 

Faculty of Business, The Hong Kong Polytechnic University, Hong Kong, China, China

Received  June 2009 Revised  September 2009 Published  October 2009

In this study, we investigate the connection between impulse control and singular control. The dynamic systems are driven by Brownian motion with drift. For simplicity we consider only one-dimension problems, where we can perform explicit calculations. We will see that Quasi-Variational Inequalities (QVI) are the common tool to consider these problems. The two problems have interesting links. By some aspects, singular control problems appear as particular cases of impulse control problems; however an impulse control is a particular case of singular control. We can, in particular, approximate an optimal singular control by a minimizing sequence of impulse controls. We show that optimal singular controls are linked to reflected diffusions. Thanks to the one-dimensionality we completely solve the QVI by the two band approach.
Keywords: Singular control, Quasi-Variational Inequalities, Impulse control, Reflected diffusion..
Mathematics Subject Classification: Primary: 93E20, 60J70; Secondary: 90B0.
Citation: Alain Bensoussan, John Liu, Jiguang Yuan. Singular control and impulse control: A common approach. Discrete & Continuous Dynamical Systems - B, 2010, 13 (1) : 27-57. doi: 10.3934/dcdsb.2010.13.27
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