A class of solvable impulse control problems
type: Item
instance of: scholarly article
title: A class of solvable impulse control problems
zbMATH Open document ID: 1060.93105
author: Luis H. R. Alvarez
published in: Applied Mathematics and Optimization
publication date: 2004-10-28T00:00:00Z
review text: Easily verifiable sufficient conditions for explicit solvability of an impulse control problem with a linear, regular, and time-homogeneous diffusion as underlying dynamics are derived. An algebraic equation for the optimal impulse boundary is given, and the value of the optimal impulse boundary is determined in terms of the minimal increasing \(r\)-excessive mapping for the diffusion. The results are illustrated in the case of an underlying geometric Brownian motion.
reviewed by: Michael Kohlmann
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 2111584
zbMATH Keywords: impulse control
zbMATH Keywords: recursive optimal stopping
zbMATH Keywords: minimal \(r\)-excessive functions
zbMATH Keywords: time-homogeneous diffusion
zbMATH Keywords: optimal impulse boundary
MaRDI profile type: Publication
full work available at URL: s00245-004-0792-z
OpenAlex ID: W1987427607
DOI: 10.1007/S00245-004-0792-Z
description: scientific article; zbMATH DE number 2111584