Impulse and absolutely continuous ergodic control of one-dimensional Itô diffusions
نویسندگان
چکیده
We consider a problem that combines impulse control with absolutely continuous control of the drift of a general one-dimensional Itô diffusion. The objective of the control problem is to minimise an ergodic or long-term average criterion that penalises both deviations of the state process from a given nominal point and the use of control effort. Our analysis completely characterises the optimal strategy.
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تاریخ انتشار 2004