On Some Ergodic Impulse Control Problems with Constraint

J. L. Menaldi · Maurice Robin

22 citations0/0 files storedSIAM Journal on Control and Optimization

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Probability and Risk Models Adaptive Dynamic Programming Control

Abstract

This paper studies the impulse control of a general Markov process under the average (or ergodic) cost when the impulse instants are restricted to be the arrival times of an exogenous process, and this restriction is referred to as a constraint. A detailed setting is described, a characterization of the optimal cost is obtained as a solution of an HJB equation, and an optimal impulse control is identified.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 22 citations exist upstream.

References

1982Stochastic Control by Functional Analysis Methods 2002Optimal stopping with random intervention times 2001Some control problems with random intervention times 1984Theorie Generale du Controle Impulsionnel Markovien 2010Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay 2017On Some Impulse Control Problems with Constraint 2016On Some Optimal Stopping Problems with Constraint 2016Constrained and Unconstrained Optimal Discounted Control of Piecewise Deterministic Markov Processes

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.