Semua buku

Profesional

Aplikasi Tentang Pelatih Masuk Mulai membaca

Quantitative Finance · Glosarium

Apa itu Impulse control, quasi-variational inequality?

Dikenal juga sebagai: impulse control · quasi-variational inequality

Definition 10.6 Quantitative Methods · Bab 10 — Optimal Stopping and Impulse Control

Impulse control acts on a state by discrete interventions: at stopping times τ1<τ2<…\tau_1 < \tau_2 < \dots it moves XX by jumps ξi\xi_i, each paying a cost with a fixed part K>0K > 0. Its value function satisfies a quasi-variational inequality: max⁡(LV−rV−f, MV−V)=0\max(\mathcal LV - rV - f,\ \mathcal MV - V) = 0 (for a cost-minimisation, with signs reversed), where MV(x)=sup⁡ξ{V(x+ξ)−K−cost(ξ)}\mathcal MV(x) = \sup_\xi\{V(x + \xi) - K - \text{cost}(\xi)\} is the value of acting now: the obstacle depends on the unknown VV itself.

Baca dalam konteks →