Advertisement

Approximating Impulse Control by Iterated Optimal Stopping

  • Bernt ØksendalEmail author
  • Agnès Sulem
Chapter
Part of the Universitext book series (UTX)

Abstract

In general it is not possible to reduce impulse control to optimal stopping, because the choice of the first intervention time \(\tau _1\) and the first impulse \(\zeta _1\) will influence the next and so on. However, if we allow only (up to) a fixed finite number n of interventions, then the corresponding impulse control problem can be solved by solving iteratively n optimal stopping problems.

Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of OsloOsloNorway
  2. 2.Inria Research Center of ParisParisFrance

Personalised recommendations