Impulse control and expected suprema

Sören Christensen, Paavo Salminen

    Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

    4 Citeringar (Scopus)

    Sammanfattning

    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.
    OriginalspråkOdefinierat/okänt
    Sidor (från-till)238–257
    Antal sidor20
    TidskriftAdvances in Applied Probability
    Volym49
    Utgåva1
    DOI
    StatusPublicerad - 2017
    MoE-publikationstypA1 Tidskriftsartikel-refererad

    Nyckelord

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

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