A class of solvable impulse control problems
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Publication:1885370
DOI10.1007/s00245-004-0792-zzbMath1060.93105OpenAlexW1987427607MaRDI QIDQ1885370
Publication date: 28 October 2004
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-004-0792-z
impulse controltime-homogeneous diffusionminimal \(r\)-excessive functionsoptimal impulse boundaryrecursive optimal stopping
Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)
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