A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
Ergodic control of diffusions with random intervention times
Tekijät: Saarinen Harto, Lempa Jukka
Kustantaja: CAMBRIDGE UNIV PRESS
Julkaisuvuosi: 2021
Journal: Journal of Applied Probability
Tietokannassa oleva lehden nimi: JOURNAL OF APPLIED PROBABILITY
Lehden akronyymi: J APPL PROBAB
Artikkelin numero: PII S0021900220000807
Vuosikerta: 58
Numero: 1
Aloitussivu: 1
Lopetussivu: 21
Sivujen määrä: 21
ISSN: 0021-9002
eISSN: 1475-6072
DOI: https://doi.org/10.1017/jpr.2020.80
Verkko-osoite: https://www.cambridge.org/core/journals/journal-of-applied-probability/article/abs/ergodic-control-of-diffusions-with-random-intervention-times/3D9F3F2E263C50FEDB8DB94FBA5565C7
Rinnakkaistallenteen osoite: https://research.utu.fi/converis/portal/detail/Publication/53665205
We study an ergodic singular control problem with constraint of a regular one-dimensional linear diffusion. The constraint allows the agent to control the diffusion only at the jump times of an independent Poisson process. Under relatively weak assumptions, we characterize the optimal solution as an impulse-type control policy, where it is optimal to exert the exact amount of control needed to push the process to a unique threshold. Moreover, we discuss the connection of the present problem to ergodic singular control problems, and illustrate the results with different well-known cost and diffusion structures.
Ladattava julkaisu This is an electronic reprint of the original article. |  |
