A Class of Solvable Impulse Control Problems

By Luis H. R. Alvarez. 2004

70 citations recorded by the source corpus.

Subfields: Finance, Management Information Systems

View Paper: https://www.semanticscholar.org/paper/0c4f9771f9f8a6ca83e98170ff3eb801be75e11e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Jim G. Dai
2. Dacheng Yao
3. Jostein Paulsen
4. Qihe Tang
5. Kam Chuen Yuen
6. Claudia Klüppelberg
7. Radostina Kostadinova

In Management Information Systems

1. Jim G. Dai
2. Dacheng Yao
3. Jostein Paulsen
4. Lihu Xu

Citations in the corpus

• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs (2007, background): “when μ and σ are constants, was dealt with in, for example, Asmussen and Taksar (1997), Gerber and Shiu (2004), and Jeanblanc-Picqué and Shiryaev (1995) (the latter also solved the case where d0 > 0). In Cadenillas et al. (2007), d0 is again positive and X is a special Ornstein–Uhlenbeck process.”
• Brownian Inventory Models with Convex Holding Cost, Part 1: Average-Optimal Controls (2013, background): “In addition to the economic papers cited in this introduction, impulse Brownian control has been used to study manufacturing systems [53], paper plants for paper making and cutting [54], natural resource economics such as forest harvesting problems [2, 3, 4, 5], inventory control problems [12, 18, 2”