2 research outputs found
Long-run risk sensitive impulse control
In this paper we consider long-run risk sensitive average cost impulse
control applied to a continuous-time Feller-Markov process. Using the
probabilistic approach, we show how to get a solution to a suitable
continuous-time Bellman equation and link it with the impulse control problem.
The optimal strategy for the underlying problem is constructed as a limit of
dyadic impulse strategies by exploiting regularity properties of the linked
risk sensitive optimal stopping value functions. In particular, this shows that
the discretized setting could be used to approximate near optimal strategies
for the underlying continuous time control problem, which facilitates the usage
of the standard approximation tools. For completeness, we present examples of
processes that could be embedded into our framework
コックス カテイ ニ ヨル ブブン カンソク ジョウホウ ノ モト デノ キタイ コウヨウ サイダイカ モンダイ
Kazufumi Fujimoto, Hideo Nagai, Wolfgang J. Runggaldier, Expected Power-Utility Maximization Under Incomplete Information and with Cox-Process Observations, Applied Mathematics & Optimization, February 2013, Volume 67, Issue 1, pp 33-72, The final publication is available at Springer via http://dx.doi.org/10.1007/s00245-012-9180-2Kazufumi Fujimoto, Hideo Nagai, Wolfgang J. Runggaldier, Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations, Asia-Pacific Financial Markets, March 2014, Volume 21, Issue 1, pp 35-66, The final publication is available at Springer via http://dx.doi.org/10.1007/s10690-013-9176-