Section: New Results

Optimal strategies for impulse control of piecewise deterministic Markov processes

In [11], we deal with the general discounted impulse control problem of a piecewise deterministic Markov process. We investigate a new family of optimal strategies. The construction of such strategies is explicit and only necessitates the previous knowledge of the cost of the no-impulse strategy. In particular, it does not require the resolution of auxiliary optimal stopping problem or the computation of the value function at each point of the state space. This approach is based on the iteration of a single-jump-orintervention operator associated to the piecewise deterministic Markov process.

Authors: B. De Saporta, F. Dufour and A. Geeraert. All authors are members of CQFD at Inria.