Risk Sensitive Impulse Control and Deterministic Games

Abstract

We investigate the relationship between stochastic impulse control problems and deterministic control problems. In particular, we study the problem of characterizing the limit point of the value function of a stochastic impulse control problem as the variance of the underlying diiusion process tends to zero. In the conventional setting the limit point is… (More)

Topics

Cite this paper

@inproceedings{Eichelsbacher2007RiskSI, title={Risk Sensitive Impulse Control and Deterministic Games}, author={Peter Eichelsbacher and Tim Zajicy}, year={2007} }