A new class of impulse stochastic control models with non-negative control quantity

DOI10.1007/s11432-010-4174-7zbMath1227.93129MaRDI QIDQ543278

XiaoPeng Liu, Kun Hui Liu

Publication date: 17 June 2011

Published in: Science China. Information Sciences (Search for Journal in Brave)

Full work available at URL: http://engine.scichina.com/doi/10.1007/s11432-010-4174-7

zbMATH Keywords

optimal control; variational equation; semi-martingale; control quantity; impulse stochastic control

Mathematics Subject Classification ID

93E20: Optimal stochastic control

49N25: Impulsive optimal control problems

Cites Work

• Optimal Central Bank intervention in the foreign exchange market
• A new class of variational equation problems
• A class of discounted models for singular diffusion control
• A class of stationary models of singular stochastic control
• On sufficient and necessary of existence for a class of singular optimal stochastic control
• Stochastic control problems where small intervention costs have big effects
• Boundedness of a derived function of a solution of a class of diffusion variational equations
• A problem of symmetric variational equation
• The generalization of a class of impulse stochastic control models of a geometric Brownian motion
• An impulse control of a geometric Brownian motion with quadratic costs
• Some control problems with random intervention times
• Some solvable stochastic control problemst^†
• Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control
• A class of singular stochastic control problems
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item