COOKIES: By using this website you agree that we can place Google Analytics Cookies on your device for performance monitoring. |

University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Impulse Control of a Linear Diffusion: an Explicitly Solvable Problem

## Impulse Control of a Linear Diffusion: an Explicitly Solvable ProblemAdd to your list(s) Download to your calendar using vCal - Mihail Zervos (London School of Economics)
- Wednesday 20 April 2022, 10:00-11:00
- Seminar Room 1, Newton Institute.
If you have a question about this talk, please contact nobody. FD2W03 - Optimal control and fractional dynamics We consider a stochastic impulse control problem that is motivated by several applications in areas such as the optimal cashflow management or the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a non-explosive positive linear diffusion. The control that can be applied to this system takes the form of one-sided impulsive action. The objective of the control problem is to maximise a discounted performance criterion that rewards the effect of control action but involves a fixed cost at each time of a control intervention. We derive the complete solution to this problem under general assumptions. It turns out that the solution can take four qualitatively different forms. In two of the four cases, there exist only $\varepsilon$-optimal control strategies. This talk is part of the Isaac Newton Institute Seminar Series series. ## This talk is included in these lists:- All CMS events
- Featured lists
- INI info aggregator
- Isaac Newton Institute Seminar Series
- School of Physical Sciences
- Seminar Room 1, Newton Institute
- bld31
Note that ex-directory lists are not shown. |
## Other listsThe Politics of Economics Cambridge University Linguistic Society (LingSoc) Adrian Seminars in Neuroscience## Other talksDecarbonising the UK’s Heavy Goods Vehicles with an Electric Road System Cambridge - Corporate Finance Theory Symposium 2022 Fractional Differential Equations Arising from Stochastic Dynamical Systems Turbulence over rough/textured walls does not obey Navier-Stokes equations Qingyuan Zhao: "Fisher, statistics, and randomisation" Frictional hysteresis in granular avalanches |