Asymptotics of impulse control problem with multiplicative reward

DOI10.1007/S00245-023-10005-5zbMATH Open1520.93230arXiv2301.04194MaRDI QIDQ6166251FDOQ6166251

Authors: Damian Jelito, Łukasz Stettner 

Publication date: 6 July 2023

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: We consider a long-run impulse control problem for a generic Markov process with a multiplicative reward functional. We construct a solution to the associated Bellman equation and provide a verification result. The argument is based on the probabilistic properties of the underlying process combined with the Krein-Rutman theorem applied to the specific non-linear operator. Also, it utilises the approximation of the problem in the bounded domain and with the help of the dyadic time-grid.

Full work available at URL: https://arxiv.org/abs/2301.04194

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zbMATH Keywords

Markov processBellman equationimpulse controlrisk-sensitive criterion

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20) Impulsive control/observation systems (93C27)

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Cited In (1)

• Long-run risk sensitive dyadic impulse control

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