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Impulse Control of Standard Brownian Motion: Discounted Criterion
Abstract : This paper examines the impulse control of a standard Brownian motion under a discounted 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 derives a simpler nonlinear optimization problem that has a familiar interpretation. Optimal solutions are obtained for initial positions in a restricted range. Duality theory in linear programming is then used to establish optimality for arbitrary initial positions.
Cited literature [5 references]
https://hal.inria.fr/hal-01286408
Contributor : Hal Ifip <>
Submitted on : Thursday, March 10, 2016 - 5:16:06 PM
Last modification on : Monday, June 15, 2020 - 12:00:33 PM
Long-term archiving on: : Sunday, November 13, 2016 - 3:02:56 PM
Contributor : Hal Ifip <>
Submitted on : Thursday, March 10, 2016 - 5:16:06 PM
Last modification on : Monday, June 15, 2020 - 12:00:33 PM
Long-term archiving on: : Sunday, November 13, 2016 - 3:02:56 PM
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