NON-ROBUSTNESS OF SOME IMPULSE CONTROL PROBLEMS WITH RESPECT TO INTERVENTION COSTS

DOI10.1081/SAP-120014552zbMath1012.93066OpenAlexW1964731737MaRDI QIDQ4797322

Bernt Øksendal, Jan Ubøe, Tu-Sheng Zhang

Publication date: 10 June 2003

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

Full work available at URL: https://doi.org/10.1081/sap-120014552

zbMATH Keywords

Brownian motionimpulse controlintervention costnon-robustnesssensitivity of value function

Mathematics Subject Classification ID

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

Related Items (5)

Non-robustness with Respect to Intervention Costs in Optimal Control ⋮ Moment-constrained optimal dividends: precommitment and consistent planning ⋮ An approximation scheme for impulse control with random reaction periods ⋮ Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates ⋮ Irreversible investment with fixed adjustment costs: a stochastic impulse control approach

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• Optimal stochastic intervention control with application to the exchange rate
• Optimal harvesting from a population in a stochastic crowded environment
• Stochastic control problems where small intervention costs have big effects
• Impulse Control of Brownian Motion
• Optimization of the flow of dividends

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