Impulse control and expected suprema

Sören Christensen, Paavo Salminen

    Research output: Contribution to journalArticleScientificpeer-review

    4 Citations (Scopus)


    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 languageUndefined/Unknown
    Pages (from-to)238–257
    Number of pages20
    JournalAdvances in Applied Probability
    Issue number1
    Publication statusPublished - 2017
    MoE publication typeA1 Journal article-refereed


    • Impulse control
    • Hunt process
    • threshold rule
    • Excessive function

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