Infinite horizon impulse control problem with continuous costs, numerical solutions
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Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Production theory, theory of the firm (91B38) Optimal stochastic control (93E20)
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Cites work
- A discrete-time approximation for doubly reflected BSDEs
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Adapted solution of a backward stochastic differential equation
- Application of doubly reflected BSDEs to an impulse control problem
- Backward stochastic differential equations with reflection and Dynkin games
- Convergence of Binomial Tree Methods for European/American Path-Dependent Options
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Discrete-time approximation for continuously and discretely reflected BSDEs
- Error expansion for the discretization of backward stochastic differential equations
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- scientific article; zbMATH DE number 1066318 (Why is no real title available?)
- Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
- Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
- On the One-Dimensional Optimal Switching Problem
- On the rate of convergence of the binomial tree scheme for American options
- On the Starting and Stopping Problem: Application in Reversible Investments
Cited in
(13)- Stochastic control problems where small intervention costs have big effects
- A class of solvable impulse control problems
- Solution examples of an impulse control problem
- Impulse control of multidimensional jump diffusions
- A computational method for stochastic impulse control problems
- Applications of an infinite horizon BSDE's to an impulse control problem
- NON-ROBUSTNESS OF SOME IMPULSE CONTROL PROBLEMS WITH RESPECT TO INTERVENTION COSTS
- Infinite horizon stochastic impulse control with delay and random coefficients
- Infinite horizon impulse control problem with jumps and continuous switching costs
- Finite Horizon Impulse control of Stochastic Functional Differential Equations
- Asymptotics of impulse control problem with multiplicative reward
- Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
- Stochastic impulse control problem with state and time dependent cost functions
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