Non-robustness with Respect to Intervention Costs in Optimal Control

DOI10.1081/SAP-120028593zbMath1062.49026OpenAlexW2071474751MaRDI QIDQ3158140

Nils Chr. Framstad

Publication date: 20 January 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120028593

zbMATH Keywords

optimal controlimpulse controlintervention costnon-robustness

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Impulsive optimal control problems (49N25)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal stochastic intervention control with application to the exchange rate
• Optimal investment and consumption with transaction costs
• Stochastic control problems where small intervention costs have big effects
• Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems
• Optimal Switching in an Economic Activity under Uncertainty
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• NON-ROBUSTNESS OF SOME IMPULSE CONTROL PROBLEMS WITH RESPECT TO INTERVENTION COSTS
• Portfolio Selection with Transaction Costs

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