NON-ROBUSTNESS OF SOME IMPULSE CONTROL PROBLEMS WITH RESPECT TO INTERVENTION COSTS
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Publication:4797322
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
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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