DocumentCode :
843848
Title :
On singular stochastic control problems for diffusion with jumps
Author :
Menaldi, J. ; Robin, Maurice
Author_Institution :
Wayne State University, Detroit, MI, USA
Volume :
29
Issue :
11
fYear :
1984
fDate :
11/1/1984 12:00:00 AM
Firstpage :
991
Lastpage :
1004
Abstract :
We consider some cases of control problems for diffusion processes with jumps when the payoff functional does not depend explicitly on the control. We prove the continuity of the optimal cost with a quasi-variational inequality interpreting the problems as the limit of an impulse control problem when the cost of impulse tends to zero. Moreover, we show the existence of an optimal control for some particular situations.
Keywords :
Diffusion processes; Inventory control; Jump parameter systems; Optimal stochastic control; Stochastic optimal control; Additives; Cost function; Diffusion processes; Dynamic programming; Fuels; Optimal control; Process control; Production; Stochastic processes; Vehicles;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1984.1103433
Filename :
1103433
Link To Document :
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