The generalization of a class of impulse stochastic control models of a geometric Brownian motion
β Scribed by XiaoPeng Liu; KunHui Liu
- Publisher
- Science in China Press (SCP)
- Year
- 2009
- Tongue
- English
- Weight
- 378 KB
- Volume
- 52
- Category
- Article
- ISSN
- 1674-733X
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The purpose of this note is to identify an interesting and surprising duality between the equations governing the probability distribution and expected value functional of the stochastic process deΓΏned by At := t 0 exp{Zs} ds; t ΒΏ 0; where {Zs: s ΒΏ 0} is a one-dimensional Brownian motion with drift
This paper presents a general model of cash management, viewed as an impulse control problem for a stochastic money ow process. Generalizing classical approaches, we represent this process by a superposition of a Brownian motion and a compound Poisson process, controlled by two-sided target-trigger
The nonequilibrium evolution of a Brownian particle, in the presence of a ''heat bath'' at thermal equilibrium (without imposing any friction mechanism from the outset), is considered. Using a suitable family of orthogonal polynomials, moments of the nonequilibrium probability distribution for the B