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IMPULSE CONTROL AND EXPECTED SUPREMA

Sören Christensen (Institutionen för matematiska vetenskaper) ; P. Salminen
Advances in Applied Probability (0001-8678). Vol. 49 (2017), 1, p. 238-257.
[Artikel, refereegranskad vetenskaplig]

We consider a class of impulse control problems for general underlying strong Markov processes on the real line, which allows for an explicit solution. The optimal impulse times are shown to be of a threshold type and the optimal threshold is characterised as a solution of a (typically nonlinear) equation. The main ingredient we use is a representation result for excessive functions in terms of expected suprema.

Nyckelord: Impulse control, Hunt process, threshold rule, excessive function, Optimal Stopping Problems, Markov-Processes, Levy Processes, Diffusions



Denna post skapades 2017-05-15.
CPL Pubid: 249338

 

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Institutionen för matematiska vetenskaperInstitutionen för matematiska vetenskaper (GU)

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Matematik

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