Impulse control and expected suprema

A1 Originalartikel i en vetenskaplig tidskrift (referentgranskad)


Interna författare/redaktörer


Publikationens författare: Sören Christensen, Paavo Salminen
Förläggare: APPLIED PROBABILITY TRUST
Publiceringsår: 2017
Tidskrift: Advances in Applied Probability
Tidskriftsakronym: ADV APPL PROBAB
Volym: 49
Nummer: 1
Artikelns första sida, sidnummer: 238
Artikelns sista sida, sidnummer: 257
Antal sidor: 20
ISSN: 0001-8678


Abstrakt

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.


Nyckelord

Excessive function, Hunt process, Impulse control, threshold rule

Senast uppdaterad 2020-23-01 vid 03:35