Switching and impulsive control of a reflected diffusion

DOI10.1007/BF01442175zbMath0553.93068MaRDI QIDQ759723

Yu-Chung Liao

Publication date: 1984

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

zbMATH Keywords

switching costs; impulsive control; reflected diffusion processes

Mathematics Subject Classification ID

49J40: Variational inequalities

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

60G40: Stopping times; optimal stopping problems; gambling theory

60J60: Diffusion processes

49J55: Existence of optimal solutions to problems involving randomness

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Cites Work

• On a degenerate variational inequality with Neumann boundary conditions
• On Some Impulse Control Problems with Long Run Average Cost
• Existence and uniqueness for degenerate second order variational inequalities
• Regularity of the solution of the quasi variational inequality for the impulse control problem
• Diffusion processes with boundary conditions
• Optimal control by means switchings