Impulse Control of Standard Brownian Motion: Long-Term Average Criterion

摘要

This paper examines the impulse control of a standard Brownian motion under a long-term average criterion. In contrast with the dynamic programming approach, this paper first imbeds the stochastic control problem into an infinite-dimensional linear program over a space of measures and then reduces the problem to a simpler nonlinear optimization that has a familiar interpretation. One is able to easily identify the optimal cost and a family of optimal impulse control policies.