Impulse Control of Standard Brownian Motion: Long-Term Average Criterion

Abstract : This paper examines the impulse control of a standard Brownian motion under a long-term average criterion. In contrast with the dynamic programming approach, this paper first imbeds the stochastic control problem into an infinite-dimensional linear program over a space of measures and then reduces the problem to a simpler nonlinear optimization that has a familiar interpretation. One is able to easily identify the optimal cost and a family of optimal impulse control policies.
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Kurt Helmes, Richard Stockbridge, Chao Zhu. Impulse Control of Standard Brownian Motion: Long-Term Average Criterion. Christian Pötzsche; Clemens Heuberger; Barbara Kaltenbacher; Franz Rendl. 26th Conference on System Modeling and Optimization (CSMO), Sep 2013, Klagenfurt, Austria. Springer Berlin Heidelberg, IFIP Advances in Information and Communication Technology, AICT-443, pp.148-157, 2014, System Modeling and Optimization. 〈10.1007/978-3-662-45504-3_14〉. 〈hal-01286407〉

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