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• W2973422739 abstract "This article treats long term average impulse control problems with running costs in the case that the underlying process is a Levy process. Under quite general conditions we characterize the value of the control problem as the value of a stopping problem and construct an optimal strategy of the control problem out of an optimizer of the stopping problem if the latter exists. Assuming a maximum representation for the payoff function, we give easy to verify conditions for the control problem to have an $left(s,Sright)$ strategy as an optimizer. The occurring thresholds are given by the roots of an explicit auxiliary function. This leads to a step by step solution technique whose utility we demonstrate by solving a variety of examples of impulse control problems." @default.
• W2973422739 created "2019-09-26" @default.
• W2973422739 creator A5035361634 @default.
• W2973422739 creator A5045183245 @default.
• W2973422739 date "2019-09-23" @default.
• W2973422739 modified "2023-10-18" @default.
• W2973422739 title "A Solution Technique for L'evy Driven Long Term Average Impulse Control Problems" @default.
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