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Research Seminar Series in Statistics and Mathematics

WU (Vienna University of Economics and Business) , Departments 4 D4.4.008 09:00 - 10:30

Type Lecture / discussion
Speaker Christoph Belak (Institute for Mathematics, Technische Universität Berlin)
Organizer Institute Statistik und Mathematik

Christoph Belak (Institute for Mathematics, Technische Universität Berlin) about "Stochastic Impulse Control: Recent Progress and Applications"

The Institute for Statistics and Mathematics (Department of Finance, Accounting and Statistics) cordially invites everyone interested to attend the talks in our Research Seminar Series, where internationally renowned scholars from leading universities present and discuss their (working) papers.

No registration required.

The list of talks for the winter term 2019/20 is available via the following link:

Stochastic impulse control problems are continuous-time optimization problems in which a stochastic system is controlled through finitely many impulses causing a discontinuous displacement of the state process. The objective is to construct impulses which optimize a given performance functional of the state process. This type of optimization problem arises in many branches of applied probability and economics such as optimal portfolio management under transaction costs, optimal forest harvesting, inventory control, and valuation of real options. In this talk, I will give an introduction to stochastic impulse control and discuss classical solution techniques. I will then introduce a new method to solve impulse control problems based on superharmonic functions and a stochastic analogue of Perron’s method, which allows to construct optimal impulse controls under a very general set of assumptions. Finally, I will show how the general results can be applied to optimal investment problems in the presence of transaction costs.

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