Two-sided Poisson control of linear diffusions




Saarinen Harto

PublisherTaylor & Francis

2023

Stochastics: An International Journal of Probability and Stochastic Processes

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES

1744-2508

1744-2516

DOIhttps://doi.org/10.1080/17442508.2023.2256923

https://doi.org/10.1080/17442508.2023.2256923

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.


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