Optimal impulse control when control actions have random consequences

Optimal impulse control when control actions have random consequences

0.00 Avg rating0 Votes
Article ID: iaor2004633
Country: United States
Volume: 22
Issue: 3
Start Page Number: 639
End Page Number: 667
Publication Date: Aug 1997
Journal: Mathematics of Operations Research
Authors:
Abstract:

We consider a generalised impulse control model for controlling a process governed by a stochastic differential equation. The controller can only choose a parameter of the probability distribution of the consequence of his control action which is therefore random. We state optimality results relating the value function to quasi-variational inequalities and a formal optimal stopping problem. We also remark that the value function is a viscosity solution of the quasivariational inequalities which could lead to developments and convergence proofs of numerical schemes. Further, we give some explicit examples and an application in financial mathematics, the optimal control of the exchange rate.

Reviews

Required fields are marked *. Your email address will not be published.