Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control

DOI10.1137/0315007zbMath0352.93074OpenAlexW2153778950MaRDI QIDQ4123213

Scott F. Richard

Publication date: 1977

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0315007

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (19)

Boundedness of a derived function of a solution of a class of diffusion variational equations ⋮ An optimal pricing policy under a Markov chain model ⋮ Solving Impulse-Control Problems with Control Delays ⋮ Impulse output feedback stabilization of Fisher's equation ⋮ Optimal cash management using impulse control ⋮ On the Modeling of Impulse Control with Random Effects for Continuous Markov Processes ⋮ Optimal policy for Brownian inventory models with general convex inventory cost ⋮ Optimum excess-loss reinsurance: A dynamic framework ⋮ Optimal Drift Rate Control and Impulse Control for a Stochastic Inventory/Production System ⋮ A new class of impulse stochastic control models with non-negative control quantity ⋮ Impulse output rapid stabilization for heat equations ⋮ The generalization of a class of impulse stochastic control models of a geometric Brownian motion ⋮ Optimal control policy for a Brownian inventory system with concave ordering cost ⋮ Optimal reinsurance-investment and dividends problem with fixed transaction costs ⋮ Optimal control of a Brownian storage system ⋮ MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS ⋮ Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case ⋮ Optimal Control of Brownian Inventory Models with Convex Inventory Cost: Discounted Cost Case ⋮ A representation theory for the impulse control of jump processes

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