A class of solvable impulse control problems (Q1885370)
From MaRDI portal
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)
0 references
28 October 2004
0 references
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.
0 references
impulse control
0 references
recursive optimal stopping
0 references
minimal \(r\)-excessive functions
0 references
time-homogeneous diffusion
0 references
optimal impulse boundary
0 references
