Impulse control and expected suprema

A1 Journal article (refereed)


Internal Authors/Editors


Publication Details

List of Authors: Sören Christensen, Paavo Salminen
Publisher: APPLIED PROBABILITY TRUST
Publication year: 2017
Journal: Advances in Applied Probability
Journal acronym: ADV APPL PROBAB
Volume number: 49
Issue number: 1
Start page: 238
End page: 257
Number of pages: 20
ISSN: 0001-8678


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 a threshold type and the optimal threshold is characterised 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.


Keywords

Excessive function, Hunt process, Impulse control, threshold rule

Last updated on 2019-17-08 at 06:31