Impulse Control of One-Dimensional Ito Diffusions with an Expected and a Pathwise Ergodic Criterion |
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Authors: | Andrew Jack Mihail Zervos |
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Institution: | (1) Department of Mathematics, King's College London, The Strand, London WC2R 2LS, England |
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Abstract: | We consider the problem of controlling a general one-dimensional
Ito diffusion by means of an impulse control process.
The objective is to minimise a long-term expected criterion as well as
a long-term pathwise criterion that penalise both deviations of
the state process from a given nominal point and the use of
impulsive control effort.
In particular, each time the controller deploys an impulse to
reposition the system's state, a fixed cost and a cost proportional to
the impulse's size are incurred.
We solve the resulting optimisation problems and we provide an explicit
characterisation of an optimal control strategy under general
assumptions.
The control of a foreign exchange rate or an inflation rate presents a
potential application of the model that we study. |
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Keywords: | |
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