A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions

DOI10.1137/060669905zbMath1161.49036arXivmath/0703179OpenAlexW2005998011MaRDI QIDQ3629486

Masahiko Egami

Publication date: 27 May 2009

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703179

zbMATH Keywords

concavityoptimal stoppingdiffusionsstochastic impulse control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Impulsive optimal control problems (49N25)

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