Stochastic impulse control with regime-switching dynamics
From MaRDI portal
Publication:1753526
DOI10.1016/j.ejor.2016.12.029zbMath1403.49018OpenAlexW3122729004MaRDI QIDQ1753526
Frank Thomas Seifried, Ralf Korn, Yaroslav Melnyk
Publication date: 29 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.12.029
Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03) Optimality conditions for problems involving randomness (49K45) Marketing, advertising (90B60)
Related Items (9)
An investment model with switching costs and the option to abandon ⋮ Constrained non-concave utility maximization: an application to life insurance contracts with guarantees ⋮ Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities ⋮ Continuity of the value function for deterministic optimal impulse control with terminal state constraint ⋮ Management of online server congestion using optimal demand throttling ⋮ Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Optimal decision policy for real options under general Markovian dynamics ⋮ An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Impulse control of pension fund contributions, in a regime switching economy
- On the optimal frequency of multiple generation product introductions
- Dynamic optimal control of process-product innovation with learning by doing
- A tutorial on the deterministic impulse control maximum principle: necessary and sufficient optimality conditions
- Investing in product development and production capabilities: the crucial linkage between time-to-market and ramp-up time
- Optimal impulse control on an unbounded domain with nonlinear cost functions
- Applied functional analysis. Functional analysis, Sobolev spaces and elliptic differential equations
- Continuous-time stochastic control and optimization with financial applications
- Point processes and queues. Martingale dynamics
- A selection theorem for optimization problems
- Quality effects in different advertising models -- an impulse control approach
- Optimal regime switching under risk aversion and uncertainty
- Irreversible investment with regime shifts
- A model for investment decisions with switching costs.
- Optimal impulse control for a multidimensional cash management system with generalized cost functions
- Optimal product rollover strategies
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- An impulse control of a geometric Brownian motion with quadratic costs
- Integrating dynamic time-to-market, pricing, production and sales channel decisions
- Optimal Trend Following Trading Rules
- BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES
- A Model for Optimally Advertising and Launching a Product
- Impulse Control of Interest Rates
- REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
- Real Options and Product Life Cycles
- On the One-Dimensional Optimal Switching Problem
- A Computational Method for Stochastic Impulse Control Problems
- Investment/Consumption Problem in Illiquid Markets with Regime-Switching
- Impulse Control of Brownian Motion: The Constrained Average Cost Case
- The Linear Complementarity Problem
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- The explicit solution to a sequential switching problem with non-smooth data
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Optimal Product Launch Times in a Duopoly: Balancing Life-Cycle Revenues with Product Cost
- On the Starting and Stopping Problem: Application in Reversible Investments
- Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs
- DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
- Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
- A Model for Investments in the Natural Resource Industry with Switching Costs
- An impulse control problem of a production model with interruptions to follow stochastic demand
- Overlapping design and build cycles in product development
This page was built for publication: Stochastic impulse control with regime-switching dynamics
