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On Some Perturbation Problems in Optimal Stopping and Impulse Control

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Book cover Stochastic Differential Systems, Stochastic Control Theory and Applications

Part of the book series: The IMA Volumes in Mathematics and Its Applications ((IMA,volume 10))

Abstract

In this paper, we study the behaviour of dynamic programming inequalities for optimal stopping and impulsive control of Markov processes when the generator of the uncontrolled process is - Aε such that

$${A_\varepsilon } = A + {\varepsilon ^{ - 1}}B{\kern 1pt} and{\kern 1pt} \varepsilon \to o.$$

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Author information

Authors and Affiliations

  1. Domaine de Voluceau, INRIA, B.P. 105, 78153, Rocquencourt, Le Chesnay Cedex, France

    Maurice Robin

Authors
  1. Maurice Robin
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Editor information

Editors and Affiliations

  1. Division of Applied Mathematics, Brown University, 02912, Providence, Rhode Island, USA

    Wendell Fleming

  2. Ceremade, Universite Paris-Dauphine, Place de Lattre de Tassigny, 75775, Paris Cedex 16, France

    Pierre-Louis Lions

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© 1988 Springer-Verlag New York Inc.

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Robin, M. (1988). On Some Perturbation Problems in Optimal Stopping and Impulse Control. In: Fleming, W., Lions, PL. (eds) Stochastic Differential Systems, Stochastic Control Theory and Applications. The IMA Volumes in Mathematics and Its Applications, vol 10. Springer, New York, NY. https://doi.org/10.1007/978-1-4613-8762-6_28

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  • DOI: https://doi.org/10.1007/978-1-4613-8762-6_28

  • Publisher Name: Springer, New York, NY

  • Print ISBN: 978-1-4613-8764-0

  • Online ISBN: 978-1-4613-8762-6

  • eBook Packages: Springer Book Archive

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