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Impulse controls and uncertainty in economics: method and application

Chu, Long; Kompas, Tom; Grafton, Quentin


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]

CollectionsANU Research Publications
Date published: 2015
Type: Journal article
Source: Environmental Modelling & Software
DOI: 10.1016/j.envsoft.2014.11.027


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