Hybrid optimal impulse control (Q2125528)

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Language	Label	Description	Also known as
English	Hybrid optimal impulse control	scientific article

Statements

scholarly article

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Hybrid optimal impulse control (English)

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publication date

14 April 2022

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zbMATH Keywords

optimal impulse control

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Markov chain

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HJB equation

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viscosity solution

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verification theorem

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.automatica.2022.110233

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Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications

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A Nondegenerate Maximum Principle for the Impulse Control Problem with State Constraints

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Optimal impulse control for cash management with quadratic holding-penalty costs

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On the Impulse Control of Jump Diffusions

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Optimal cash management under uncertainty

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AMERICAN OPTIONS WITH REGIME SWITCHING

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Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance

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Impulse Control of Multidimensional Jump Diffusions in Finite Time Horizon

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Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model

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Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time

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Stochastic Differential Games Involving Impulse Controls and Double-Obstacle Quasi-variational Inequalities

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User’s guide to viscosity solutions of second order partial differential equations

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Viscosity Solutions of Hamilton-Jacobi Equations

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An Optimal Stochastic Production Planning Problem with Randomly Fluctuating Demand

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Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes

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Closed-Form Solutions for Perpetual American Put Options with Regime Switching

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Optimal stopping of switching diffusions with state dependent switching rates

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Optimal switching under a hybrid diffusion model and applications to stock trading

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Stochastic differential equations. An introduction with applications.

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Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs

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Applied stochastic control of jump diffusions

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Risk analysis for a stochastic cash manangement model with two type of customers

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On Optimal Harvesting Problems in Random Environments

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Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach

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Numerical methods for optimal harvesting strategies in random environments under partial observations

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Stochastic Maximum Principle for Optimal Control Problems of Forward-Backward Systems Involving Impulse Controls

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Continuous-time Markov chains and applications. A two-time-scale approach

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Hybrid switching diffusions. Properties and applications

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The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls

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Risk-Sensitive Production Planning of Stochastic Manufacturing Systems: A Singular Perturbation Approach

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Stock Trading: An Optimal Selling Rule

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Optimal stopping of two-time scale Markovian systems: analysis, numerical methods, and applications

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Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

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Identifiers

zbMATH Open document ID

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10.1016/j.automatica.2022.110233

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2125528

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