Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions
From MaRDI portal
Publication:2138187
DOI10.1186/s13362-021-00112-9zbMath1490.93135OpenAlexW3203608366WikidataQ113179282 ScholiaQ113179282MaRDI QIDQ2138187
Yuta Yaegashi, Hidekazu Yoshioka
Publication date: 11 May 2022
Published in: Journal of Mathematics in Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13362-021-00112-9
finite difference schemepopulation dynamicsHamilton-Jacobi-Bellman quasi variational inequalityimperfect impulse controlODE-based method
Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Impulsive control/observation systems (93C27)
Cites Work
- Unnamed Item
- Unnamed Item
- Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem
- On classical and restricted impulse stochastic control for the exchange rate
- Thinning and harvesting in stochastic forest models
- The maximum principle for semicontinuous functions
- Optimal harvesting strategy of a stochastic inshore-offshore hairtail fishery model driven by Lévy jumps in a polluted environment
- Continuous-time stochastic control and optimization with financial applications
- ``Phase diagram of a mean field game
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Ergodic control for a mean reverting inventory model
- Non-renewable fishery resource management under incomplete information
- Fishery management under poorly known dynamics
- Numerical models for differential problems
- Error estimates for numerical approximation of Hamilton-Jacobi equations related to hybrid control systems
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
- Optimal exploitation of a resource with stochastic population dynamics and delayed renewal
- Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
- On a strategic model of pollution control
- Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
- Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process
- On the solution of general impulse control problems using superharmonic functions
- Controlled Markov processes and viscosity solutions
- Optimal asset control of a geometric Brownian motion with the transaction costs and bankruptcy permission
- An impulse control of a geometric Brownian motion with quadratic costs
- Partially observable stochastic optimal control problems for an energy storage
- Impulse Control of Multidimensional Jump Diffusions
- Numerical Methods for Nonlinear PDEs in Finance
- Optimal harvesting for a stochastic Lotka-Volterra predator-prey system with jumps and nonselective harvesting hypothesis
- A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity
- On hybrid stochastic population models with impulsive perturbations
- Optimal control of continuous systems with impulse controls
- Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
- Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
- User’s guide to viscosity solutions of second order partial differential equations
- Optimal Impulse Control When Control Actions Have Random Consequences
- Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities
- A methodology to assess the economic impact of power storage technologies
- Analytical fuel‐optimal impulsive reconfiguration of formation‐flying satellites: A revisit and new results
- Analytical fuel‐optimal impulsive reconfiguration of formation‐flying satellites
- Numerical analysis of strongly nonlinear PDEs
- Robust stochastic control modeling of dam discharge to suppress overgrowth of downstream harmful algae
- Sequential testing of a Wiener process with costly observations
- Modeling stochastic operation of reservoir under ambiguity with an emphasis on river management
- Finite horizon optimal execution with bounded rate of transaction
- Stability analysis of uncertain switched singular time‐delay systems with discrete and distributed delays
- Robustness
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
- Applied stochastic control of jump diffusions