On the Optimal Impulse Control Problem for Degenerate Diffusions

descriptionPublicationkeyboard_double_arrow_right Article 01 Nov 1980 English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:SIAM Journal on Control and Optimization, volume 18, pages 722-739 (issn: 0363-0129, eissn: 1095-7138,

Copyright policy )

Authors: Menaldi, J. L.;

doi: 10.1137/0318053

On the Optimal Impulse Control Problem for Degenerate Diffusions

- Summary
- Subjects
- Metrics

Abstract

In this paper, we give a characterization of the optimal cost of an impulse control problem as the maximum solution of a quasi-variational inequality without assuming nondegeneracy. An estimate of the velocity of uniform convergence of the sequence of stopping time problems associated with the impulse control problem is given.

Keywords

Stopping times; optimal stopping problems; gambling theory, non-coercive variational inequality, Optimal stochastic control, Variational inequalities, Diffusion processes, impulse control

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	35
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 10%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 10%

Found an issue? Give us feedback

35

Average

Top 10%

bronze

Fields of Science (4) View all

Fields of Science