Bounded variation control of Itô diffusions with exogenously restricted intervention times

DOI10.1239/AAP/1396360105MaRDI QIDQ5415095zbMATH OpenOpenAlexFDO

Authors Jukka Lempa

Publication date 9 May 2014

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aap/1396360105, http://hdl.handle.net/10642/2431

zbMATH Keywords

bounded variation controlItô diffusionPoisson processresolvent operatorsingular stochastic control

Mathematics Subject Classification ID

Impulsive optimal control problems (49N25) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stochastic control (93E20)

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Cited in

(3)

• A note on asymptotics between singular and constrained control problems of one-dimensional diffusions
• Ergodic control of diffusions with random intervention times
• Two-sided Poisson control of linear diffusions

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