Impulse control and expected suprema
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Publication:5233166
DOI10.1017/apr.2016.86zbMath1430.49034arXiv1503.01253OpenAlexW1870133514MaRDI QIDQ5233166
Sören Christensen, Paavo H. Salminen
Publication date: 16 September 2019
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.01253
Stopping times; optimal stopping problems; gambling theory (60G40) Impulsive optimal control problems (49N25)
Related Items (5)
On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems ⋮ Expected Supremum Representation of the Value of a Singular Stochastic Control Problem ⋮ A General Verification Result for Stochastic Impulse Control Problems ⋮ A solution technique for Lévy driven long term average impulse control problems ⋮ Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
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