A class of solvable impulse control problems (Q1885370): Difference between revisions
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Latest revision as of 22:18, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A class of solvable impulse control problems |
scientific article |
Statements
A class of solvable impulse control problems (English)
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28 October 2004
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Easily verifiable sufficient conditions for explicit solvability of an impulse control problem with a linear, regular, and time-homogeneous diffusion as underlying dynamics are derived. An algebraic equation for the optimal impulse boundary is given, and the value of the optimal impulse boundary is determined in terms of the minimal increasing \(r\)-excessive mapping for the diffusion. The results are illustrated in the case of an underlying geometric Brownian motion.
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impulse control
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recursive optimal stopping
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minimal \(r\)-excessive functions
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time-homogeneous diffusion
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optimal impulse boundary
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