Impulse Control of Standard Brownian Motion: Discounted Criterion - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Conference Papers Year : 2014

Impulse Control of Standard Brownian Motion: Discounted Criterion

Kurt Helmes
  • Function : Author
  • PersonId : 932782
Richard H. Stockbridge
  • Function : Author
  • PersonId : 978254
Chao Zhu
  • Function : Author
  • PersonId : 978255


This paper examines the impulse control of a standard Brownian motion under a discounted 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 derives a simpler nonlinear optimization problem that has a familiar interpretation. Optimal solutions are obtained for initial positions in a restricted range. Duality theory in linear programming is then used to establish optimality for arbitrary initial positions.
Fichier principal
Vignette du fichier
978-3-662-45504-3_15_Chapter.pdf (4 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-01286408 , version 1 (10-03-2016)





Kurt Helmes, Richard H. Stockbridge, Chao Zhu. Impulse Control of Standard Brownian Motion: Discounted Criterion. 26th Conference on System Modeling and Optimization (CSMO), Sep 2013, Klagenfurt, Austria. pp.158-169, ⟨10.1007/978-3-662-45504-3_15⟩. ⟨hal-01286408⟩
31 View
84 Download



Gmail Facebook Twitter LinkedIn More