Year: 2023
Type: article
Abstract: We consider the stochastic control problem of the shallow lake and continue the work of Kossioris, Loulakis, and Souganidis. First, we generalise the characterisation of the value function as the viscosity solution of a well-posed problem to include more general recycling rates. Then, we prove approximate optimality under bounded controls and we establish quantitative estimates. Finally, we implement a convergent and stable numerical scheme for the computation of the value function to investigate properties of the optimally controlled stochastic shallow lake. This approach permits to derive tails asymptotics for the invariant distribution and to extend results of Grass, Kiseleva and Wagener. https://www.sciencedirect.com/science/article/pii/S1007570414004754] beyond the small noise limit.
Source: International Journal of Control
Authors: Angeliki Koutsimpela, Michail Loulakis
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4388735007