Optimal Impulse Control When Control Actions Have Random Consequences

DOI10.1287/MOOR.22.3.639MaRDI QIDQ4361789zbMATH OpenOpenAlexFDO

Authors Ralf Korn

Publication date 28 October 1997

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.22.3.639

zbMATH Keywords

exchange rategeneralized impulse controloptimal stoppingquasi-variational inequalitiesstochastic differential equationviscosity solution

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Recommendations

• Optimal stochastic impulse control with delayed reaction
• scientific article; zbMATH DE number 3894967
• Optimal impulse control with variance premium principle
• Deterministic Impulse Control Problems
• scientific article; zbMATH DE number 1526955
• Optimal strategies for impulse control of piecewise deterministic Markov processes
• Optimal stochastic impulse control with random coefficients and execution delay
• An approximation scheme for impulse control with random reaction periods
• Deterministic minimax impulse control
• Impulse control of piecewise-deterministic processes

Cited in

(30)

• Optimal Central Bank intervention in the foreign exchange market
• Classical and restricted impulse control for the exchange rate under a stochastic trend model
• On the Mittag-Leffler stability of impulsive fractional solow-type models
• An approximation scheme for impulse control with random reaction periods
• Optimization of risk policy and dividends with fixed transaction costs under interest rate
• Optimality of \((s, S)\) policies for jump inventory models
• Impulse control with random reaction periods: a central bank intervention problem
• Optimal policy for Brownian inventory models with general convex inventory cost
• Linear programming approach to optimal impulse control problems with functional constraints
• Optimal reinsurance-investment and dividends problem with fixed transaction costs
• Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions
• Management of online server congestion using optimal demand throttling
• Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
• Real R\&D options with time-to-learn and learning-by-doing
• Impulse control of interest rates
• scientific article; zbMATH DE number 3889410 (Why is no real title available?)
• Optimal Index Tracking Under Transaction Costs and Impulse Control
• A stochastic inventory model for a random yield supply chain with wholesale-price and shortage penalty contracts
• Optimal control under uncertainty and Bayesian parameters adjustments
• OPTIMAL ORDERING POLICIES WITH STOCHASTIC DEMAND AND PRICE PROCESSES
• Brownian inventory models with convex holding cost. I: Average-optimal controls
• On classical and restricted impulse stochastic control for the exchange rate
• scientific article; zbMATH DE number 3894967 (Why is no real title available?)
• Optimal irrational behavior in continuous time
• Protecting pegged currency markets from speculative investors
• HJB equation for optimal control system with random impulses
• On the Modeling of Impulse Control with Random Effects for Continuous Markov Processes
• Boolean-controlled systems via receding horizon and linear programing
• Single-item continuous-review inventory models with random supplies
• A central bank strategy for defending a currency peg

This page was built for publication: Optimal Impulse Control When Control Actions Have Random Consequences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4361789)