scholarly journals Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates

2019 ◽  
Vol 89 (3) ◽  
pp. 355-383 ◽  
Author(s):  
Matteo Basei
Keyword(s):  
Control Problem ◽  
Impulse Control ◽  
Energy Markets ◽  
Asymptotic Estimates ◽  
Optimal Price ◽  
Impulse Control Problem ◽  
Price Management

A Class of Stochastic Control Problem Governed by a Poisson Process

2012 ◽  
Vol 450-451 ◽  
pp. 46-55
Author(s):  
Shao Lin Tian ◽  
Ji Chun Li ◽  
Kun Hui Liu
Keyword(s):  
Optimal Control ◽  
Control Problem ◽  
Poisson Process ◽  
Objective Function ◽  
Impulse Control ◽  
Sufficient Condition ◽  
Signal Process ◽  
Impulse Control Problem ◽  
State Process ◽  
Optimal Impulse

In this paper, we examine an optimal impulse control problem of stochastic system, whose state follows a Brownian motion. Here we want to maximum the objective function. The main feature of our model is that the controlled state process includes an impulse control governed by a Poisson process. In other words, the set of possible intervention times are discrete, random and determined by the signal process. Here we not only present a theorem giving a sufficient condition on the existence of an optimal control and its corresponding objective function, but also provide an explicit solution obtained under some simplified conditions.

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