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March 2014 Bounded variation control of Itô diffusions with exogenously restricted intervention times
Jukka Lempa
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Adv. in Appl. Probab. 46(1): 102-120 (March 2014). DOI: 10.1239/aap/1396360105

Abstract

In this paper, bounded variation control of one-dimensional diffusion processes is considered. We assume that the agent is allowed to control the diffusion only at the jump times of an observable, independent Poisson process. The agent's objective is to maximize the expected present value of the cumulative payoff generated by the controlled diffusion over its lifetime. We propose a relatively weak set of assumptions on the underlying diffusion and the instantaneous payoff structure, under which we solve the problem in closed form. Moreover, we illustrate the main results with an explicit example.

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Jukka Lempa. "Bounded variation control of Itô diffusions with exogenously restricted intervention times." Adv. in Appl. Probab. 46 (1) 102 - 120, March 2014. https://doi.org/10.1239/aap/1396360105

Information

Published: March 2014
First available in Project Euclid: 1 April 2014

zbMATH: 1286.93204
MathSciNet: MR3189050
Digital Object Identifier: 10.1239/aap/1396360105

Subjects:
Primary: 93E20
Secondary: 49N25, 60G40, 60J60

Rights: Copyright © 2014 Applied Probability Trust

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Vol.46 • No. 1 • March 2014
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