Two-sided Poisson control of linear diffusions

Autor:	Saarinen, Harto
Rok vydání:	2022
Předmět:	Mathematics - Optimization and Control Mathematics - Probability 93E20 60J60
Druh dokumentu:	Working Paper
Popis:	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. Comment: 23 pages, 2 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2203.09573 Zobrazit plný text záznamu View this record from Arxiv