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.

excessive function

threshold rule

Diffusions

Hunt process

Markov-Processes

Levy Processes

Optimal Stopping Problems

Impulse control

Author

Sören Christensen

University of Gothenburg

Chalmers, Mathematical Sciences

P. Salminen

Advances in Applied Probability

0001-8678 (ISSN) 1475-6064 (eISSN)

Vol. 49 1 238-257

Subject Categories

Mathematics

DOI

10.1017/apr.2016.86

More information

Created

10/8/2017