scholarly journals Stochastic impulse control Problem with state and time dependent cost functions

2020 ◽  
Vol 10 (4) ◽  
pp. 855-875
Author(s):  
Brahim El Asri ◽  
◽  
Sehail Mazid ◽  
Keyword(s):  
Control Problem ◽  
Impulse Control ◽  
Time Dependent ◽  
Cost Functions ◽  
Impulse Control Problem ◽  
Stochastic Impulse Control

scholarly journals Error Estimates for a Stochastic Impulse Control Problem

2007 ◽  
Vol 55 (3) ◽  
pp. 327-357 ◽  
Author(s):  
Frederic Bonnans ◽  
Stefania Maroso ◽  
Housnaa Zidani
Keyword(s):  
Control Problem ◽  
Error Estimates ◽  
Impulse Control ◽  
Impulse Control Problem ◽  
Stochastic Impulse Control

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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