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Long-Run Risk Sensitive Dyadic Impulse Control

  • Marcin PiteraEmail author
  • Łukasz Stettner
Article
  • 17 Downloads

Abstract

In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller–Markov process. In contrast to the existing literature, focus is put on unbounded and non-uniformly ergodic case by adapting the weight norm approach. In particular, it is shown how to combine geometric drift with local minorisation property in order to extend local span-contraction approach when the process as well as the linked reward/cost functions are unbounded. For any predefined risk-aversion parameter, the existence of solution to suitable Bellman equation is shown and linked to the underlying stochastic control problem. For completeness, examples of uncontrolled processes that satisfy the geometric drift assumption are provided.

Keywords

Impulse control Bellman equation Non-uniformly ergodic Markov process Weight norm Risk sensitive control Entropic risk measure 

Mathematics Subject Classification

93E20 93C40 60J25 

Notes

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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Institute of MathematicsJagiellonian UniversityCracowPoland
  2. 2.Institute of MathematicsPolish Academy of SciencesWarsawPoland

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