Stochastic impulse control of non-Markovian processes

DOI10.1007/s00245-009-9070-4zbMath1195.93144arXiv0806.2761MaRDI QIDQ989967

Ibtissam Hdhiri, Said Hamadène, Boualem Djehiche

Publication date: 23 August 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.2761

zbMATH Keywords

stochastic control; backward stochastic differential equations; optimal stopping time; Snell envelope; stochastic impulse control

Mathematics Subject Classification ID

93E20: Optimal stochastic control

49N25: Impulsive optimal control problems

Related Items

Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients, Optimal stochastic impulse control with random coefficients and execution delay, BSDE representations for optimal switching problems with controlled volatility, Finite Horizon Impulse control of Stochastic Functional Differential Equations, Non-Markovian impulse control under nonlinear expectation, Impulse control of conditional McKean-Vlasov jump diffusions, Risk sensitive impulse control of non-Markovian processes, Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs, Swing Options Valuation: A BSDE with Constrained Jumps Approach

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