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Impulse control problem with switching technology
Journal article   Peer reviewed

Impulse control problem with switching technology

Rim Amami
Stochastics (Abingdon, Eng. : 2005), Vol.84(2-3), pp.437-460
04/2012

Abstract

dynamic programming principle impulse control problem maximum conditional profit
We consider an impulse control problem with switching technology in infinite horizon. We suppose that the firm decides at certain time (impulse time) to switch the technology and the firm value (e.g. a recapitalization). We show that the value function for such problems satisfies a dynamic programming principle. Our objective is to look for an optimal strategy which maximizes the value function.

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