Discussion on a class of impulse consumption control strategy of optimal stochastic problem

MaRDI QIDQ5199704zbMATH OpenFDO

Authors Rui-cheng Yang

Publication date 16 August 2011

zbMATH Keywords

geometrical Brownian motionPoisson processutility functionvariational inequalities

Mathematics Subject Classification ID

Variational inequalities (49J40) Optimal stochastic control (93E20)

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(4)

• Existence of an infinite-horizon optimal impulse consumption of a geometric Brownian motion with variable coefficients
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• Impulse stochastic control determined by a Poisson process
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