Impulse Control of Standard Brownian Motion: Long-Term Average Criterion
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Publication:2948562
DOI10.1007/978-3-662-45504-3_14zbMath1320.93089MaRDI QIDQ2948562
Richard H. Stockbridge, Chao Zhu, Kurt Helmes
Publication date: 6 October 2015
Published in: IFIP Advances in Information and Communication Technology (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/hal-01286407/file/978-3-662-45504-3_14_Chapter.pdf
impulse control; long-term average criterion; infinite dimensional linear programming; expected occupation and impulse measures
90C05: Linear programming
93E20: Optimal stochastic control
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
49N25: Impulsive optimal control problems