A class of singular control problems with tipping points
Fuente:
arXiv
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| Autori principali: | , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866912922301628416 |
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| author | Décamps, Jean-Paul Gensbittel, Fabien Mariotti, Thomas Villeneuve, Stéphane |
| author_facet | Décamps, Jean-Paul Gensbittel, Fabien Mariotti, Thomas Villeneuve, Stéphane |
| contents | Tipping points characterize situations where a regulated system may experience a sudden and irreversible change and are generally associated with a random state of the system below which the change materializes. In this paper, we study a singular stochastic control problem in which the performance criterion depends on the hitting time of a random state that is not a stopping time for the reference filtration. We establish a connection between the value of this problem and that of a singular control problem involving a diffusion and its running minimum. We provide a verification lemma that we apply to explicitly solve a resource-extraction problem with an ex-ante unknown tipping point. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_16599 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A class of singular control problems with tipping points Décamps, Jean-Paul Gensbittel, Fabien Mariotti, Thomas Villeneuve, Stéphane Optimization and Control Tipping points characterize situations where a regulated system may experience a sudden and irreversible change and are generally associated with a random state of the system below which the change materializes. In this paper, we study a singular stochastic control problem in which the performance criterion depends on the hitting time of a random state that is not a stopping time for the reference filtration. We establish a connection between the value of this problem and that of a singular control problem involving a diffusion and its running minimum. We provide a verification lemma that we apply to explicitly solve a resource-extraction problem with an ex-ante unknown tipping point. |
| title | A class of singular control problems with tipping points |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2510.16599 |