59 search results - page 1 / 12 » On the Optimal Stochastic Impulse Control of Linear Diffusio... |
SIAMCO
2008
13 years 4 months ago
2008
SIAMCO
2008
13 years 4 months ago
2008
We consider stochastic impulse control problems where the process is driven by one-dimensional diffusions. Impulse control problems are widely applied to financial engineering and...
IOR
2008
13 years 4 months ago
2008
When a manufacturer places repeated orders with a supplier to meet changing production requirements, he faces the challenge of finding the right balance between holding costs and ...
SIAMCO
2008
13 years 4 months ago
2008
We study a stochastic control problem where the state process is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, being af...
SIAMCO
2002
13 years 4 months ago
2002
An optimal stochastic control problem is considered for systems with unbounded controls satisfying an integral constraint. It is shown that there exists an optimal control within t...