Work

Asymptotics of Impulse Control Problem with Multiplicative Reward

Year: 2023

Type: article

Abstract: We consider a long-run impulse control problem for a generic Markov process with a multiplicative reward functional. We construct a solution to the associated Bellman equation and provide a verification result. The argument is based on the probabilistic properties of the underlying process combined with the Krein-Rutman theorem applied to the specific non-linear operator. Also, it utilises the approximation of the problem in the bounded domain and with the help of the dyadic time-grid.

Source: Applied Mathematics & Optimization

DOI: 10.1007/s00245-023-10005-5

Authors: Damian Jelito, Łukasz Stettner

Institutions: Institute of Mathematics, Polish Academy of Sciences

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,590

Funder: Narodowe Centrum Nauki