A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions

Details A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions

2007-03-07

arxiv.org/abs/math/0703179v1

Mathematics

Optimization and Control

Scientific paper

We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space. Our approach can relieve us from the burden of guessing and proving the optimal strategy, (2) present a simple method to find the value function and the corresponding control policies, and (3) handle systematically a broader class of reward and cost functions since the existence of the value function can be shown in much a simpler way.

Affiliated with

Also associated with

No associations

Rating

A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-254975