DocumentCode
1743805
Title
A problem of stochastic impulse control with discretionary stopping
Author
Duckworth, Kate ; Zervos, Mihail
Author_Institution
Dept. of Stat., Newcastle upon Tyne Univ., UK
Volume
1
fYear
2000
fDate
2000
Firstpage
222
Abstract
We consider a stochastic control problem that has emerged in the economics literature as an investment model under uncertainty. This problem combines some of the features of stochastic impulse control with optimal stopping. The aim is to discover the form of the optimal strategy. The results that we establish are of an explicit nature
Keywords
investment; optimal control; stochastic systems; discretionary stopping; investment model; optimal stopping; stochastic impulse control; uncertainty; Asset management; Cost function; Educational institutions; Investments; Pricing; Project management; Standards development; Statistics; Stochastic processes; Uncertainty;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Conference_Location
Sydney, NSW
ISSN
0191-2216
Print_ISBN
0-7803-6638-7
Type
conf
DOI
10.1109/CDC.2000.912763
Filename
912763
Link To Document