ePrints

A problem of stochastic impulse control with discretionary stopping

Lookup NU author(s): Dr Mihail Zervos

Downloads

Full text for this publication is not currently held within this repository. Alternative links are provided below where available.

Abstract

We consider a stochastic control problem that has emerged in the economics literature as an investment model under uncertainty. This problem combines some of the features of stochastic impulse control with optimal stopping. The aim is to discover the form of the optimal strategy. The results that we establish are of an explicit nature.

Publication metadata

Author(s): Duckworth K, Zervos M

Publication type: Conference Proceedings (inc. Abstract)

Publication status: Published

Conference Name: Proceedings of the 39th IEEE Conference on Decision and Control

Year of Conference: 2000

Pages: 222-227

ISSN: 0780366387

Publisher: IEEE Control Systems Society

Share