Impulse controls and uncertainty in economics: method and application
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Chu, Long; Kompas, Tom; Grafton, Quentin
Description
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 |
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Date published: | 2015 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/13659 |
Source: | Environmental Modelling & Software |
DOI: | 10.1016/j.envsoft.2014.11.027 |
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