Optimal impulse control on an unbounded domain with nonlinear cost functions
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- J. Michael Harrison & Thomas M. Sellke & Allison J. Taylor, 1983. "Impulse Control of Brownian Motion," Mathematics of Operations Research, INFORMS, vol. 8(3), pages 454-466, August.
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Keywords
impulse control; stochastic cash management; quasi-variational inequalities; finite element approximation;All these keywords.
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