arxiv.org
Data-driven rules for multidimensional reflection problems
November 2023 • Sören Christensen, Asbjørn Holk Thomsen, Lukas Trottner
Over the recent past data-driven algorithms for solving stochastic optimal control problems in face of model uncertainty have become an increasingly active area of research. However, for singular controls and underlying diffusion dynamics the analysis has so far been restricted to the scalar case. In this paper we fill this gap by studying a multivariate singular control problem for reversible diffusions with controls of reflection type. Our contributions are threefold. We first explicitly determine the long-run a…