Optimal impulse control problems for degenerate diffusions with jumps

DOI10.1007/BF00046712zbMath0616.93079MaRDI QIDQ1821754

José Luis Menaldi

Publication date: 1987

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingquasi-variational inequalitiesoptimal policiesoptimal impulse controlmartingale formulationdegenerate diffusions with jumpssemi-group formulation

Mathematics Subject Classification ID

Related Items (14)

The boundary harnack principle for some degenerate elliptic operators ⋮ Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach ⋮ On Some Quasi-Variational Inequalities and Other Problems with Moving Sets ⋮ Continuity of the value function for deterministic optimal impulse control with terminal state constraint ⋮ A General Verification Result for Stochastic Impulse Control Problems ⋮ On Some Impulse Control Problems with Constraint ⋮ Optimal Stopping Problems for a Family of Continuous-Time Markov Processes ⋮ Discrete-time hybrid control in Borel spaces ⋮ Discrete-time hybrid control in Borel spaces: average cost optimality criterion ⋮ Systems governed by ordinary differential equations with continuous, switching and impulse controls ⋮ A Finite Horizon Optimal Stochastic Impulse Control Problem with A Decision Lag ⋮ On Some Optimal Stopping Problems with Constraint ⋮ Stochastic hybrid control ⋮ Impulse control of stochastic Navier-Stokes equations

Cites Work

• Probability methods for approximations in stochastic control and for elliptic equations
• Integro-differential operators associated with diffusion processes with jumps
• On singular stochastic control problems for diffusion with jumps
• On impulsive control with long run average cost criterion
• Optimal Stochastic Scheduling of Power Generation Systems with Scheduling Delays and Large Cost Differentials
• On the Optimal Stopping Time Problem for Degenerate Diffusions
• On the Optimal Impulse Control Problem for Degenerate Diffusions
• Regularity of the solution of the quasi variational inequality for the impulse control problem
• Techniques probabilistes dans le contrôle impulsionnel
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