Proceedings of the 2017 5th International Conference on Mechatronics, Materials, Chemistry and Computer Engineering (ICMMCCE 2017)

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An Impulse Control with Quadratic Drift Term

Authors
Qiuyuan Wang, Yan Xu
Corresponding Author
Qiuyuan Wang
Available Online September 2017.
DOI
10.2991/icmmcce-17.2017.152How to use a DOI?
Keywords
impulse control; HJB equation; value function; Ito formula
Abstract

This paper mainly discusses an impulse control problem where the drift of dynamics is not only quadratic but also constrained in the control variable. We establish the HJB equation to get the closed form of the value function. At the same time, we obtain the optimal control in some case.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2017 5th International Conference on Mechatronics, Materials, Chemistry and Computer Engineering (ICMMCCE 2017)
Series
Advances in Engineering Research
Publication Date
September 2017
ISBN
10.2991/icmmcce-17.2017.152
ISSN
2352-5401
DOI
10.2991/icmmcce-17.2017.152How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - CONF
AU  - Qiuyuan Wang
AU  - Yan Xu
PY  - 2017/09
DA  - 2017/09
TI  - An Impulse Control with Quadratic Drift Term
BT  - Proceedings of the 2017 5th International Conference on Mechatronics, Materials, Chemistry and Computer Engineering (ICMMCCE 2017)
PB  - Atlantis Press
SP  - 845
EP  - 852
SN  - 2352-5401
UR  - https://doi.org/10.2991/icmmcce-17.2017.152
DO  - 10.2991/icmmcce-17.2017.152
ID  - Wang2017/09
ER  -