We model an impulse control problem when the controller's action affects the state as well as the dynamics of the state process for a random amount of time. We apply our model to solve a central bank intervention problem in the foreign exchange market when the market observes and reacts to the...

We develop a general methodology for a partially observed stochastic control problem. The dynamics is governed by a discrete-time Markov process. We describe an application to an inventory system with possibility of shrinkage, and introduce unnormalized conditional probabilities to transform the...