On an approximation of average cost per unit time impulse control of Markov processes

2022/05/29 by Łukasz Stettner, Stettner, Lukasz
Computer Science · #Optimization and Variational Analysis

paper · pdf · doi:10.48550/arxiv.2205.14642

Abstract

In this paper we consider impulse control of continuous time Markov processes with average cost per unit time functional. This problem is approximated using impulse control problems stopped at the first exit time from increasing sequence of open sets. We find solution to Bellman equation corresponding to the original problem and show that stopped impulse control problems approximate optimal value of the cost functional.

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