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.
Original language | Undefined/Unknown |
---|---|
Pages (from-to) | 238–257 |
Number of pages | 20 |
Journal | Advances in Applied Probability |
Volume | 49 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2017 |
MoE publication type | A1 Journal article-refereed |
Keywords
- Impulse control
- Hunt process
- threshold rule
- Excessive function