Asymptotics of impulse control problem with multiplicative reward

DOI10.1007/s00245-023-10005-5zbMath1520.93230arXiv2301.04194MaRDI QIDQ6166251

Łukasz Stettner, Damian Jelito

Publication date: 6 July 2023

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2301.04194

zbMATH Keywords

Bellman equationMarkov processimpulse controlrisk-sensitive criterion

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Impulsive control/observation systems (93C27)

Cites Work

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