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SUMMARY:Impulse Control of a Linear Diffusion: an Explicitly Solvable Prob
 lem - Mihail Zervos (London School of Economics)
DTSTART:20220420T090000Z
DTEND:20220420T100000Z
UID:TALK171380@talks.cam.ac.uk
DESCRIPTION:We consider a stochastic impulse control problem that is motiv
 ated by several applications in areas such as the optimal cashflow managem
 ent or the optimal exploitation of a natural resource.&nbsp\; In particula
 r\, we consider a stochastic system whose uncontrolled state dynamics are 
 modelled by a non-explosive positive linear diffusion.&nbsp\;&nbsp\;The co
 ntrol that can be applied to this system takes the form of&nbsp\;one-sided
  impulsive action.&nbsp\;The objective of the control problem is to maximi
 se a&nbsp\;discounted performance criterion that rewards the effect&nbsp\;
 of control action but involves a fixed cost at each time&nbsp\;of a contro
 l intervention.&nbsp\;&nbsp\;We derive the complete solution to this probl
 em&nbsp\;under general assumptions.&nbsp\;It turns out that the solution c
 an take four qualitatively&nbsp\;different forms.&nbsp\;In two of the four
  cases\, there exist only $\\varepsilon$-optimal control strategies.\n&nbs
 p\;
LOCATION:Seminar Room 1\, Newton Institute
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