Impulse Control of Standard Brownian Motion: Discounted Criterion.

Kurt Helmes Richard H. Stockbridge Chao Zhu

Published in: System Modelling and Optimization (2013)

Keyphrases

brownian motion
optimal control
optimal stopping
infinite horizon
stochastic process
differential equations
dynamic programming
control system
vector valued
poisson process
control strategy
stochastic processes
multiscale
diffusion process