Title :
A problem of stochastic impulse control with discretionary stopping
Author :
Duckworth, Kate ; Zervos, Mihail
Author_Institution :
Dept. of Stat., Newcastle upon Tyne Univ., UK
Abstract :
We consider a stochastic control problem that has emerged in the economics literature as an investment model under uncertainty. This problem combines some of the features of stochastic impulse control with optimal stopping. The aim is to discover the form of the optimal strategy. The results that we establish are of an explicit nature
Keywords :
investment; optimal control; stochastic systems; discretionary stopping; investment model; optimal stopping; stochastic impulse control; uncertainty; Asset management; Cost function; Educational institutions; Investments; Pricing; Project management; Standards development; Statistics; Stochastic processes; Uncertainty;
Conference_Titel :
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Conference_Location :
Sydney, NSW
Print_ISBN :
0-7803-6638-7
DOI :
10.1109/CDC.2000.912763
