Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions

DOI10.1007/978-3-540-30788-4_15zbMath1098.93037OpenAlexW78326928MaRDI QIDQ5493551

Andrew Jack, Mihail Zervos

Publication date: 23 October 2006

Published in: From Stochastic Calculus to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-30788-4_15

zbMATH Keywords

impulse controlItô diffusionsergodic criterionabsolutely continuous control

Mathematics Subject Classification ID

Variational inequalities (49J40) Optimal stochastic control (93E20) Impulsive optimal control problems (49N25)

Related Items (2)

Classical and restricted impulse control for the exchange rate under a stochastic trend model ⋮ On classical and restricted impulse stochastic control for the exchange rate

This page was built for publication: Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions