Impulse Control of Standard Brownian Motion: Discounted Criterion

DOI10.1007/978-3-662-45504-3_15zbMath1320.93090OpenAlexW167331235MaRDI QIDQ2948563

Richard H. Stockbridge, Chao Zhu, Kurt Helmes

Publication date: 6 October 2015

Published in: IFIP Advances in Information and Communication Technology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-662-45504-3_15

zbMATH Keywords

impulse controldiscounted criterioninfinite dimensional linear programmingexpected occupation measures

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Linear programming (90C05) Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Impulsive optimal control problems (49N25)

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