On the solution of general impulse control problems using superharmonic functions
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Publication:2434499
DOI10.1016/J.SPA.2013.09.008zbMATH Open1281.49033arXiv1304.3578OpenAlexW1996327401MaRDI QIDQ2434499FDOQ2434499
Publication date: 6 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: In this paper, a characterization of the solution of impulse control problems in terms of superharmonic functions is given. In a general Markovian framework, the value function of the impulse control problem is shown to be the minimal function in a convex set of superharmonic functions. This characterization also leads to optimal impulse control strategies and can be seen as the corresponding characterization to the description of the value function for optimal stopping problems as a smallest superharmonic majorant of the reward function. The results are illustrated with examples from different fields, including multiple stopping and optimal switching problems.
Full work available at URL: https://arxiv.org/abs/1304.3578
Recommendations
Markov processes (60J99) Impulsive optimal control problems (49N25) Stopping times; optimal stopping problems; gambling theory (60G40)
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