Impulse controls and uncertainty in economics: Method and application

    Research output: Contribution to journalArticle


    We develop a stochastic optimal control framework to address an important class of economic problems where there are discontinuities and a decision maker is able to undertake impulse controls in response to unexpected disturbances. Our contribution is two fold: (1) to develop a linear programming algorithm that produces a consistent approximation of the maximum value and optimal policy functions in the context of stochastic impulse controls; and (2) to illustrate the economic benefits of impulse controls optimized, using our framework, and calibrated to the population dynamics of a marine fishery. We contend that the framework has wide applicability and offers the possibility of higher economic pay-off for a wide-range of policy problems in the presence of discontinuities and adverse shocks.
    Original languageEnglish
    Pages (from-to)50-57
    JournalEnvironmental Modelling and Software
    Publication statusPublished - 2015


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