SIAM Journal on Control and Optimization, Volume 58, Issue 4, Page 2446-2468, January 2020.
In this paper we consider long-run risk-sensitive average cost impulse control applied to a continuous-time Feller--Markov process. Using the probabilistic approach, we show how to get the solution to a suitable continuous-time Bellman equation and link it with the impulse control problem. The optimal strategy for the underlying problem is constructed as a limit of dyadic impulse strategies by exploiting regularity properties of the linked risk-sensitive optimal stopping value functions. In particular, this shows that the discretized setting could be used to approximate near-optimal strategies for the underlying continuous-time control problem, which facilitates the usage of the standard approximation tools. For completeness, we present examples of processes that could be embedded into our framework.

中文翻译：

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长期风险敏感脉冲控制

SIAM控制与优化杂志，第58卷，第4期，第2446-2468页，2020年1月。
在本文中，我们考虑将长期风险敏感的平均成本冲量控制应用于连续Feller-Markov过程。使用概率方法，我们展示了如何获得合适的连续时间Bellman方程的解，并将其与脉冲控制问题联系起来。通过利用链接的风险敏感的最佳止损值函数的规律性，将针对潜在问题的最佳策略构造为二元冲动策略的极限。特别是，这表明离散化设置可用于近似潜在的连续时间控制问题的近似最佳策略，这有助于使用标准近似工具。为了完整起见，我们提供了可以嵌入到我们框架中的流程示例。