Issue |
ITM Web Conf.
Volume 49, 2022
International Conference on Applied Mathematics and Numerical Methods – fourth edition (ICAMNM 2022)
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Article Number | 02005 | |
Number of page(s) | 5 | |
Section | Differential Equations, Dynamical Systems, Algebra, And Geometry | |
DOI | https://doi.org/10.1051/itmconf/20224902005 | |
Published online | 16 November 2022 |
Optimal control of compound Poisson processes
Department of Mathematics and Industrial Engineering, Polytechnique Montréal, C.P. 6079, Succursale Centre-ville, Montréal, Québec H3C 3A7, Canada
* e-mail: mlefebvre@polymtl.ca
The problem of controlling a compound Poisson process until it leaves an interval is considered. This type of problem is known as a homing problem. To determine the value of the optimal control, we must solve a nonlinear integro-differential equation. Exact and explicit solutions are obtained for two possible jumps size distributions.
© The Authors, published by EDP Sciences, 2022
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