IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812770448_0013.html
   My bibliography  Save this book chapter

A Remark on Impulse Control Problems with Risk-sensitive Criteria

In: Stochastic Processes And Applications To Mathematical Finance

Author

Listed:
  • Hideo Nagai

    (Division of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University, Toyonaka, 560-8531, Japan)

Abstract

A verification theorem for an impulse control problem related to optimal investment with transaction costs is studied. A risk-sensitive variational inequality (QVI) of ergodic type concerns the problem. The pair (u⊂l) of a function u and a constant l is considered to be a solution of the QVI. The constant determines the value of the impulse control problem and an optimal strategy is constructed from the function u. In proving the verification theorem we have uniqueness of the constant l of the solution of the QVI.

Suggested Citation

  • Hideo Nagai, 2007. "A Remark on Impulse Control Problems with Risk-sensitive Criteria," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 13, pages 219-232, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812770448_0013
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812770448_0013
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812770448_0013
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marcin Pitera & {L}ukasz Stettner, 2019. "Long-run risk sensitive dyadic impulse control," Papers 1906.06389, arXiv.org.
    2. Damian Jelito & Marcin Pitera & {L}ukasz Stettner, 2019. "Long-run risk sensitive impulse control," Papers 1912.02488, arXiv.org, revised Apr 2020.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812770448_0013. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.