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math.OC2025
A risk-sensitive ergodic singular stochastic control problem
Justin Gwee, Mihail Zervos
We consider a two-sided singular stochastic control problem with a risk-sensitive ergodic criterion. In particular, we consider a stochastic system whose uncontrolled dynamics are…
math.OC2025
Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
Gechun Liang, Zhesheng Liu, Mihail Zervos
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion…
math.OC2024
The Solution to an Impulse Control Problem Motivated by Optimal Harvesting
Zhesheng Liu, Mihail Zervos
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic s…