NON-ROBUSTNESS OF SOME IMPULSE CONTROL PROBLEMS WITH RESPECT TO INTERVENTION COSTS

DOI10.1081/SAP-120014552MaRDI QIDQ4797322zbMATH OpenOpenAlexFDO

Authors B. Øksendal, Jan Ubøe, Tu-Sheng Zhang

Publication date 10 June 2003

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sap-120014552

zbMATH Keywords

Brownian motionimpulse controlintervention costnon-robustnesssensitivity of value function

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Recommendations

• Stochastic control problems where small intervention costs have big effects
• Properties of value functions in impulse control problems
• Stochastic impulse control problem with state and time dependent cost functions
• Infinite horizon impulse control problem with continuous costs, numerical solutions

Cites work

• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• Impulse Control of Brownian Motion
• Non-standard difference schemes for singular perturbation problems revisited
• Optimal harvesting from a population in a stochastic crowded environment
• Optimal stochastic intervention control with application to the exchange rate
• Optimization of the flow of dividends
• Stochastic control problems where small intervention costs have big effects

Cited in

(5)

• Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
• An approximation scheme for impulse control with random reaction periods
• Moment-constrained optimal dividends: precommitment and consistent planning
• Non-robustness with Respect to Intervention Costs in Optimal Control
• Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates

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