تقرير
Asymptotics of impulse control problem with multiplicative reward
| العنوان: | Asymptotics of impulse control problem with multiplicative reward |
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| المؤلفون: | Jelito, Damian, Stettner, Łukasz |
| المصدر: | Applied Mathematics & Optimization 88(24), 2023 |
| سنة النشر: | 2023 |
| المجموعة: | Mathematics |
| مصطلحات موضوعية: | Mathematics - Optimization and Control, Mathematics - Probability, 93E20, 49J21, 49K21, 60J25 |
| الوصف: | We consider a long-run impulse control problem for a generic Markov process with a multiplicative reward functional. We construct a solution to the associated Bellman equation and provide a verification result. The argument is based on the probabilistic properties of the underlying process combined with the Krein-Rutman theorem applied to the specific non-linear operator. Also, it utilises the approximation of the problem in the bounded domain and with the help of the dyadic time-grid. Comment: 26 pages |
| نوع الوثيقة: | Working Paper |
| DOI: | 10.1007/s00245-023-10005-5 |
| URL الوصول: | http://arxiv.org/abs/2301.04194 |
| رقم الأكسشن: | edsarx.2301.04194 |
| قاعدة البيانات: | arXiv |
| DOI: | 10.1007/s00245-023-10005-5 |
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