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.
CITATION STYLE
Helmes, K., Stockbridge, R. H., & Zhu, C. (2014). Impulse control of standard Brownian motion: Long-term average criterion. IFIP Advances in Information and Communication Technology, 443, 148–157. https://doi.org/10.1007/978-3-662-45504-3_14
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