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.
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.158-169, 2014, System Modeling and Optimization. 〈10.1007/978-3-662-45504-3_15〉
https://hal.inria.fr/hal-01286408
Contributeur : Hal Ifip
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Dernière modification le : lundi 2 avril 2018 - 16:44:01
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Kurt Helmes, Richard Stockbridge, Chao Zhu. Impulse Control of Standard Brownian Motion: Discounted 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.158-169, 2014, System Modeling and Optimization. 〈10.1007/978-3-662-45504-3_15〉. 〈hal-01286408〉
