Impulse control and expected suprema
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Publication:5233166
DOI10.1017/APR.2016.86zbMATH Open1430.49034arXiv1503.01253OpenAlexW1870133514MaRDI QIDQ5233166FDOQ5233166
Sören Christensen, Paavo Salminen
Publication date: 16 September 2019
Published in: Advances in Applied Probability (Search for Journal in Brave)
Abstract: We consider a class of impulse control problems for general underlying strong Markov processes on the real line, which allows for an explicit solution. The optimal impulse times are shown to be of threshold type and the optimal threshold is characterized as a solution of a (typically nonlinear) equation. The main ingredient we use is a representation result for excessive functions in terms of expected suprema.
Full work available at URL: https://arxiv.org/abs/1503.01253
Recommendations
Impulsive optimal control problems (49N25) Stopping times; optimal stopping problems; gambling theory (60G40)
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