On the Optimal Stochastic Impulse Control of Linear Diffusions
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Publication:3617230
DOI10.1137/060659375zbMath1157.49040OpenAlexW1992725139MaRDI QIDQ3617230
Luis H. R. Alvarez, Jukka Lempa
Publication date: 27 March 2009
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/618f7726acd6a91bad899dfa1317d34cac818d48
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimality conditions for problems involving randomness (49K45) Impulsive optimal control problems (49N25) Existence of optimal solutions to problems involving randomness (49J55)
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