Predictability, Compensation, and Excessive Functions

2006 ◽  
pp. 409-432
Keyword(s):  
Excessive Functions

Inverse Subordination of Excessive Functions

1994 ◽  
pp. 111-131
Author(s):  
R. K. Getoor ◽  
M. J. Sharpe
Keyword(s):  
Excessive Functions

QUASI BOUNDED EXCESSIVE FUNCTIONS AND REVUZ MEASURES

1998 ◽  
pp. 151-163
Author(s):  
LUCIAN BEZNEA ◽  
NICU BOBOC
Keyword(s):  
Excessive Functions

scholarly journals Regularity of Excessive Functions II

1971 ◽  
Vol 42 (6) ◽  
pp. 2056-2063 ◽  
Author(s):  
R. K. Getoor
Keyword(s):  
Excessive Functions

scholarly journals Impulse control and expected suprema

2017 ◽  
Vol 49 (1) ◽  
pp. 238-257 ◽  
Author(s):  
Sören Christensen ◽  
Paavo Salminen
Keyword(s):  
Nonlinear Equation ◽  
Markov Processes ◽  
Real Line ◽  
Impulse Control ◽  
Control Problems ◽  
Main Ingredient ◽  
Excessive Functions ◽  
Representation Result ◽  
Optimal Impulse ◽  
Strong Markov

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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