ITM Web Conf.
Volume 49, 2022International Conference on Applied Mathematics and Numerical Methods – fourth edition (ICAMNM 2022)
|Number of page(s)||5|
|Section||Differential Equations, Dynamical Systems, Algebra, And Geometry|
|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
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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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