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Impulse Control of Standard Brownian Motion: Long-Term Average Criterion

Résumé

This paper examines the impulse control of a standard Brownian motion under a long-term average criterion. In contrast with the dynamic programming approach, this paper first imbeds the stochastic control problem into an infinite-dimensional linear program over a space of measures and then reduces the problem to a simpler nonlinear optimization that has a familiar interpretation. One is able to easily identify the optimal cost and a family of optimal impulse control policies.
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hal-01286407 , version 1 (10-03-2016)

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Kurt Helmes, Richard H. Stockbridge, Chao Zhu. Impulse Control of Standard Brownian Motion: Long-Term Average Criterion. 26th Conference on System Modeling and Optimization (CSMO), Sep 2013, Klagenfurt, Austria. pp.148-157, ⟨10.1007/978-3-662-45504-3_14⟩. ⟨hal-01286407⟩
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