IMPULSE CONTROL AND EXPECTED SUPREMA
Journal article, 2017
We consider a class of impulse control problems for general underlying strong Markov processes on the real line, which allows for an explicit solution. The optimal impulse times are shown to be of a threshold type and the optimal threshold is characterised as a solution of a (typically nonlinear) equation. The main ingredient we use is a representation result for excessive functions in terms of expected suprema.
Diffusions
threshold rule
Hunt process
Impulse control
Markov-Processes
Levy Processes
Optimal Stopping Problems
excessive function
Author
Sören Christensen
University of Hamburg
P. Salminen
Åbo Akademi
Advances in Applied Probability
0001-8678 (ISSN) 1475-6064 (eISSN)
Vol. 49 1 238-257Subject Categories
Mathematics
DOI
10.1017/apr.2016.86