A direct solution method for stochastic impulse control problems of one-dimensional diffusions

SIAM Journal on Control and Optimization

Volumn 47, Issue 3, 2008, Pages 1191-1218

  Egami, Masahiko ^a,b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b KYOTO UNIVERSITY   (Japan)

Author keywords

Concavity; Diffusions; Optimal stopping; Stochastic impulse control

Indexed keywords

CONCAVITY; CONVENTIONAL METHODS; DIRECT SOLUTION METHODS; FINANCIAL ENGINEERINGS; IMPULSE CONTROL PROBLEMS; LINEAR FUNCTIONS; MATHEMATICAL CHARACTERIZATIONS; OPTIMAL STOPPING; OPTIMAL STRATEGIES; OPTIMALITY; PORTFOLIO OPTIMIZATIONS; STOCHASTIC IMPULSE CONTROL; STOCHASTIC IMPULSE CONTROLS; TRANSACTION COSTS; VALUE FUNCTIONS; VARIATIONAL INEQUALITIES;

ADMINISTRATIVE DATA PROCESSING; COST FUNCTIONS; DIFFUSION; FINANCIAL DATA PROCESSING; PROBABILITY DENSITY FUNCTION; SEMICONDUCTOR DOPING; VARIATIONAL TECHNIQUES;

PROBLEM SOLVING;

EID: 55549105448     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/060669905     Document Type: Article

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