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Two-sided Poisson control of linear diffusions




TekijätSaarinen Harto

KustantajaTaylor & Francis

Julkaisuvuosi2023

JournalStochastics: An International Journal of Probability and Stochastic Processes

Tietokannassa oleva lehden nimiSTOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES

ISSN1744-2508

eISSN1744-2516

DOIhttps://doi.org/10.1080/17442508.2023.2256923

Verkko-osoitehttps://doi.org/10.1080/17442508.2023.2256923

Rinnakkaistallenteen osoitehttps://research.utu.fi/converis/portal/detail/Publication/182068226


Tiivistelmä

We study a class of two-sided optimal control problems of general linear diffusions under a so-called Poisson constraint: the controlling is only allowed at the arrival times of an independent Poisson signal processes. We give a weak and easily verifiable set of sufficient conditions under which we derive a quasi-explicit unique solution to the problem in terms of the minimal r-excessive mappings of the diffusion. We also investigate limiting properties of the solutions with respect to the signal intensity of the Poisson process. Lastly, we illustrate our results with an explicit example.


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Last updated on 2024-26-11 at 11:34