Optimal stochastic impulse control with delayed reaction

DOI10.1007/S00245-007-9034-5zbMATH Open1161.93029OpenAlexW2007865084MaRDI QIDQ1021256FDOQ1021256

Authors: B. Øksendal, Agnès Sulem 

Publication date: 8 June 2009

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

Full work available at URL: http://hdl.handle.net/10852/10582

Recommendations

• Optimal stochastic impulse control with random coefficients and execution delay
• A finite horizon optimal stochastic impulse control problem with a decision lag
• Infinite horizon stochastic impulse control with delay and random coefficients
• Impulse control problem on finite horizon with execution delay
• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls

zbMATH Keywords

jump diffusionsimpulse controldelayed reaction

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Impulsive optimal control problems (49N25) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

Cites Work

• Applied stochastic control of jump diffusions
• Optimal control problem associated with jump processes
• Title not available (Why is that?)
• Impulse control problem on finite horizon with execution delay
• Explicit Solution of Inventory Problems with Delivery Lags
• The impact of delivery lags on irreversible investment under uncertainty
• OPTIMAL STOPPING WITH DELAYED INFORMATION
• The effects of implementation delay on decision-making under uncertainty

Cited In (28)

• Stochastic differential games involving impulse controls
• On the problems of sequential statistical inference for Wiener processes with delayed observations
• An approximation scheme for impulse control with random reaction periods
• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
• Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls
• Linear-quadratic delayed mean-field social optimization
• Optimal execution with stochastic delay
• Analysis of the optimal exercise boundary of American put options with delivery lags
• Optimal exploitation of a resource with stochastic population dynamics and delayed renewal
• Stochastic optimal control problem in advertising model with delay
• Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
• Recursive stochastic \(H_{2}/H_{\infty}\) control problem for delay systems involving continuous and impulse controls
• Optimal stochastic impulse control with random coefficients and execution delay
• On the finite horizon optimal switching problem with random lag
• The effects of implementation delay on decision-making under uncertainty
• Solving impulse-control problems with control delays
• Finite horizon optimal stopping of time-discontinuous functionals with applications to impulse control with delay
• Finite Horizon Impulse control of Stochastic Functional Differential Equations
• Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
• Optimal Impulse Control When Control Actions Have Random Consequences
• A limited-feedback approximation scheme for optimal switching problems with execution delays
• Linear-Quadratic Stochastic Stackelberg Games of N Players for Time-Delay Systems and Related FBSDEs
• Title not available (Why is that?)
• Rational expectations: an approach of anticipated linear-quadratic social optima
• A finite horizon optimal stochastic impulse control problem with a decision lag
• Infinite horizon stochastic impulse control with delay and random coefficients
• Impulse control problem on finite horizon with execution delay
• Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation

This page was built for publication: Optimal stochastic impulse control with delayed reaction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1021256)