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Impulse control and expected suprema
Published online by Cambridge University Press: 17 March 2017
Abstract
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.
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- Research Article
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- Copyright © Applied Probability Trust 2017
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