A class of solvable impulse control problems
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Publication:1885370
DOI10.1007/s00245-004-0792-zzbMath1060.93105MaRDI 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 control; time-homogeneous diffusion; minimal \(r\)-excessive functions; optimal impulse boundary; recursive optimal stopping
60J65: Brownian motion
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
60J60: Diffusion processes
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