Impulse control and expected suprema

Link:
Autor/in:
Erscheinungsjahr:
2017
Medientyp:
Text
Schlagworte:
  • Optimal stopping
  • Explicit solution
  • Game
  • Stochastic Differential Equations
  • Fractional Brownian Motion
  • Random Walk
  • Optimal stopping
  • Explicit solution
  • Game
  • Stochastic Differential Equations
  • Fractional Brownian Motion
  • Random Walk
Beschreibung:
  • 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.
Lizenz:
  • info:eu-repo/semantics/restrictedAccess
Quellsystem:
Forschungsinformationssystem der UHH

Interne Metadaten
Quelldatensatz
oai:www.edit.fis.uni-hamburg.de:publications/d565b799-7285-4dbd-85ab-4a35480dc9c0