On the solution of general impulse control problems using superharmonic functions
From MaRDI portal
Publication:2434499
DOI10.1016/j.spa.2013.09.008zbMath1281.49033arXiv1304.3578MaRDI QIDQ2434499
Publication date: 6 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.3578
superharmonic functions; optimal stopping problems; general Markov processes; impulse control strategies
60G40: Stopping times; optimal stopping problems; gambling theory
60J99: Markov processes
49N25: Impulsive optimal control problems
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