Innovation, commutation et contrôle impulsionnel en horizon infini

2012/01/12 by Rim Amami, Amami, Rim
Economics, Econometrics and Finance · Mathematics · #35R60 #60H15 #93E20 #FOS: Mathematics #Optimization and Control (math.OC) #Stochastic processes and financial applications #math.OC #msc:35R60 #msc:60H15 #msc:93E20

paper · pdf · doi:10.48550/arxiv.1201.2603

openalex publication_date 2012/01/12 · arxiv created 2012/02/02 · arxiv updated 2012/02/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We consider an impulse control problem in infinite horizon. To solve this problem, we extend to the infinite horizon case results of double barrier reflected backward stochastic differential equations. The properties of the Snell envelope can reduce our problem to show the existence of a pair of measurable continuous processes.

Related

• Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients
• Finite Horizon Robust Impulse Control in a Non-Markovian Framework and Related Systems of Reflected BSDEs
• Infinite Horizon Impulse Control of Stochastic Functional Differential Equations
• A Finite Horizon Optimal Multiple Switching Problem
• A Finite Horizon Optimal Switching Problem with Memory and Application\n to Controlled SDDEs