FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2014799645> ?p ?o ?g. }

• W2014799645 endingPage "321" @default.
• W2014799645 startingPage "311" @default.
• W2014799645 abstract "We examine an optimal impulse control problem of a stochastic system whose state follows a geometric Brownian motion. We suppose that, when an agent intervenes in the system, it requires costs consisting of a quadratic form of the system state. Besides the intervention costs, running costs are continuously incurred to the system, and they are also of a quadratic form. Our objective is to find an optimal impulse control of minimizing the expected total discounted sum of the intervention costs and running costs incurred over the infinite time horizon. In order to solve this problem, we formulate it as a stochastic impulse control problem, which is approached via quasi-variational inequalities (QVI). Under a suitable set of sufficient conditions on the given problem parameters, we prove the existence of an optimal impulse control such that, whenever the system state reaches a certain level, the agent intervenes in the system. Consequently it instantaneously reduces to another level." @default.
• W2014799645 created "2016-06-24" @default.
• W2014799645 creator A5058079046 @default.
• W2014799645 creator A5059001950 @default.
• W2014799645 date "2006-01-01" @default.
• W2014799645 modified "2023-09-24" @default.
• W2014799645 title "An impulse control of a geometric Brownian motion with quadratic costs" @default.
• W2014799645 cites W1963846402 @default.
• W2014799645 cites W1965150957 @default.
• W2014799645 cites W1974085046 @default.
• W2014799645 cites W1982644477 @default.
• W2014799645 cites W2043016139 @default.
• W2014799645 cites W2053235992 @default.
• W2014799645 cites W2077041264 @default.
• W2014799645 cites W2109595427 @default.
• W2014799645 cites W2118373752 @default.
• W2014799645 cites W2147736135 @default.
• W2014799645 doi "https://doi.org/10.1016/j.ejor.2004.07.006" @default.
• W2014799645 hasPublicationYear "2006" @default.
• W2014799645 type Work @default.
• W2014799645 sameAs 2014799645 @default.
• W2014799645 citedByCount "29" @default.
• W2014799645 countsByYear W20147996452012 @default.
• W2014799645 countsByYear W20147996452013 @default.
• W2014799645 countsByYear W20147996452014 @default.
• W2014799645 countsByYear W20147996452015 @default.
• W2014799645 countsByYear W20147996452017 @default.
• W2014799645 countsByYear W20147996452018 @default.
• W2014799645 countsByYear W20147996452019 @default.
• W2014799645 countsByYear W20147996452020 @default.
• W2014799645 countsByYear W20147996452021 @default.
• W2014799645 countsByYear W20147996452023 @default.
• W2014799645 crossrefType "journal-article" @default.
• W2014799645 hasAuthorship W2014799645A5058079046 @default.
• W2014799645 hasAuthorship W2014799645A5059001950 @default.
• W2014799645 hasConcept C101615488 @default.
• W2014799645 hasConcept C105795698 @default.
• W2014799645 hasConcept C112401455 @default.
• W2014799645 hasConcept C121332964 @default.
• W2014799645 hasConcept C126255220 @default.
• W2014799645 hasConcept C129844170 @default.
• W2014799645 hasConcept C154945302 @default.
• W2014799645 hasConcept C15744967 @default.
• W2014799645 hasConcept C170131372 @default.
• W2014799645 hasConcept C2524010 @default.
• W2014799645 hasConcept C2775924081 @default.
• W2014799645 hasConcept C28761237 @default.
• W2014799645 hasConcept C28826006 @default.
• W2014799645 hasConcept C3017618536 @default.
• W2014799645 hasConcept C3018727167 @default.
• W2014799645 hasConcept C33923547 @default.
• W2014799645 hasConcept C41008148 @default.
• W2014799645 hasConcept C47446073 @default.
• W2014799645 hasConcept C542102704 @default.
• W2014799645 hasConcept C56739046 @default.
• W2014799645 hasConcept C62520636 @default.
• W2014799645 hasConcept C68710425 @default.
• W2014799645 hasConcept C70836080 @default.
• W2014799645 hasConcept C91575142 @default.
• W2014799645 hasConceptScore W2014799645C101615488 @default.
• W2014799645 hasConceptScore W2014799645C105795698 @default.
• W2014799645 hasConceptScore W2014799645C112401455 @default.
• W2014799645 hasConceptScore W2014799645C121332964 @default.
• W2014799645 hasConceptScore W2014799645C126255220 @default.
• W2014799645 hasConceptScore W2014799645C129844170 @default.
• W2014799645 hasConceptScore W2014799645C154945302 @default.
• W2014799645 hasConceptScore W2014799645C15744967 @default.
• W2014799645 hasConceptScore W2014799645C170131372 @default.
• W2014799645 hasConceptScore W2014799645C2524010 @default.
• W2014799645 hasConceptScore W2014799645C2775924081 @default.
• W2014799645 hasConceptScore W2014799645C28761237 @default.
• W2014799645 hasConceptScore W2014799645C28826006 @default.
• W2014799645 hasConceptScore W2014799645C3017618536 @default.
• W2014799645 hasConceptScore W2014799645C3018727167 @default.
• W2014799645 hasConceptScore W2014799645C33923547 @default.
• W2014799645 hasConceptScore W2014799645C41008148 @default.
• W2014799645 hasConceptScore W2014799645C47446073 @default.
• W2014799645 hasConceptScore W2014799645C542102704 @default.
• W2014799645 hasConceptScore W2014799645C56739046 @default.
• W2014799645 hasConceptScore W2014799645C62520636 @default.
• W2014799645 hasConceptScore W2014799645C68710425 @default.
• W2014799645 hasConceptScore W2014799645C70836080 @default.
• W2014799645 hasConceptScore W2014799645C91575142 @default.
• W2014799645 hasIssue "2" @default.
• W2014799645 hasLocation W20147996451 @default.
• W2014799645 hasOpenAccess W2014799645 @default.
• W2014799645 hasPrimaryLocation W20147996451 @default.
• W2014799645 hasRelatedWork W1496197533 @default.
• W2014799645 hasRelatedWork W1964691907 @default.
• W2014799645 hasRelatedWork W2025377495 @default.
• W2014799645 hasRelatedWork W2027141399 @default.
• W2014799645 hasRelatedWork W2063741325 @default.
• W2014799645 hasRelatedWork W2347810075 @default.
• W2014799645 hasRelatedWork W2936377413 @default.
• W2014799645 hasRelatedWork W2963536793 @default.
• W2014799645 hasRelatedWork W2972758891 @default.
• W2014799645 hasRelatedWork W3142462773 @default.
• W2014799645 hasVolume "168" @default.

• next