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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.
Cited literature [15 references]
https://hal.inria.fr/hal-01286407
Contributor : Hal Ifip <>
Submitted on : Thursday, March 10, 2016 - 5:15:48 PM
Last modification on : Monday, June 15, 2020 - 12:00:33 PM
Long-term archiving on: : Sunday, November 13, 2016 - 3:09:41 PM
Contributor : Hal Ifip <>
Submitted on : Thursday, March 10, 2016 - 5:15:48 PM
Last modification on : Monday, June 15, 2020 - 12:00:33 PM
Long-term archiving on: : Sunday, November 13, 2016 - 3:09:41 PM
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