On Some Impulse Control Problems with Long Run Average Cost

DOI10.1137/0319020MaRDI QIDQ3912711zbMATH OpenOpenAlexFDO

Authors M. Robin

Publication date 1981

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

Full work available at URL https://doi.org/10.1137/0319020

zbMATH Keywords

discount factorergodicityimpulse control

Mathematics Subject Classification ID

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

Cited in

(34)

• Problèmes de Neumann quasilinéaires. (Quasilinear Neumann problems)
• An optimal stopping time problem with time average cost in a bounded interval
• On ergodic stopping and impulsive control problem for nonuniformly ergodic Markov processes
• On a reliability problem by stochastic control methods
• Ergodic problem for the Hamilton-Jacobi-Bellman equation. I: Existence of the ergodic attractor
• On ergodic control problems for singularly perturbed Markov processes
• Risk sensitive optimal stopping
• Long-run risk sensitive dyadic impulse control
• Ergodic impulsive control of Feller processes with costly information
• Ergodic switching control for diffusion-type processes
• Hamilton-Jacobi Equations with State Constraints
• Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs
• On the poisson equation and optimal stopping of ergodic markov processes
• scientific article; zbMATH DE number 4034202 (Why is no real title available?)
• Asymptotic analysis for variational inequalities and its application to optimal stopping
• On some problems arising in asymptotic analysis of Markov processes with singularly perturbed generators
• On ergodic stochastic control
• Impulsive control of piecewise-deterministic processes with long run average cost
• On ergodic stochastic control
• Optimal inventory control with jump diffusion and nonlinear dynamics in the demand
• On an approximation of average cost per unit time impulse control of Markov processes
• Long-run risk-sensitive impulse control
• Impulse control maximizing average cost per unit time: a nonuniformly ergodic case
• A measure approach for continuous inventory models: discounted cost criterion
• Finite element approximation of some indefinite elliptic problems
• Ergodic control of reflected diffusions with jumps
• Long-Run Impulse Control with Generalized Discounting
• Growth optimal portfolio selection under proportional transaction costs with obligatory diversification
• Ergodic switching control for Markov chains
• Ergodic switching control for Markov-Feller processes. I
• Infinite horizon stopping problems with (nearly) total reward criteria
• Switching and impulsive control of a reflected diffusion
• Long-term average cost control problems for continuous time Markov processes: A survey
• On average cost stopping time problems

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