Impulse controls and uncertainty in economics: method and application
We develop a stochastic optimal control framework to address an important class of economic problems where there are discontinuities and a decision maker is able to undertake impulse controls in response to unexpected disturbances. Our contribution is two fold: (1) to develop a linear programming algorithm that produces a consistent approximation of the maximum value and optimal policy functions in the context of stochastic impulse controls; and (2) to illustrate the economic benefits of...[Show more]
|Collections||ANU Research Publications|
|Source:||Environmental Modelling & Software|
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