A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
Two-sided Poisson control of linear diffusions
Tekijät: Saarinen Harto
Kustantaja: Taylor & Francis
Julkaisuvuosi: 2023
Journal: Stochastics: An International Journal of Probability and Stochastic Processes
Tietokannassa oleva lehden nimi: STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES
ISSN: 1744-2508
eISSN: 1744-2516
DOI: https://doi.org/10.1080/17442508.2023.2256923
Verkko-osoite: https://doi.org/10.1080/17442508.2023.2256923
Rinnakkaistallenteen osoite: https://research.utu.fi/converis/portal/detail/Publication/182068226
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.
Ladattava julkaisu This is an electronic reprint of the original article. |