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Convex duality for stochastic singular control problems

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  • Peter Bank
  • Helena Kauppila

Abstract

We develop a general theory of convex duality for certain singular control problems, taking the abstract results by Kramkov and Schachermayer (1999) for optimal expected utility from nonnegative random variables to the level of optimal expected utility from increasing, adapted controls. The main contributions are the formulation of a suitable duality framework, the identification of the problem's dual functional as well as the full duality for the primal and dual value functions and their optimizers. The scope of our results is illustrated by an irreversible investment problem and the Hindy-Huang-Kreps utility maximization problem for incomplete financial markets.

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  • Peter Bank & Helena Kauppila, 2014. "Convex duality for stochastic singular control problems," Papers 1407.7717, arXiv.org.
    • Handle: RePEc:arx:papers:1407.7717
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    References listed on IDEAS

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