Sequential systems of reflected backward stochastic differential equations with application to impulse control

DOI10.1007/S00245-022-09891-YzbMATH Open1493.60101OpenAlexW4286632623WikidataQ115388179 ScholiaQ115388179MaRDI QIDQ2156342FDOQ2156342

Magnus Perninge

Publication date: 18 July 2022

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

Full work available at URL: https://doi.org/10.1007/s00245-022-09891-y

Recommendations

• Application of doubly reflected BSDEs to an impulse control problem
• Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications
• Backward stochastic differential equations with reflection and Dynkin games
• Reflected backward stochastic differential equation with jumps and random obstacle
• Applications of an infinite horizon BSDE's to an impulse control problem

zbMATH Keywords

impulse controlstochastic differential gamereflected backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Differential games (aspects of game theory) (91A23) Impulsive optimal control problems (49N25) Stochastic games, stochastic differential games (91A15)

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Multi-dimensional BSDE with oblique reflection and optimal switching
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Stochastic Differential Utility
• Title not available (Why is that?)
• Backward Stochastic Differential Equations in Finance
• Wellposedness of second order backward SDEs
• On the Starting and Stopping Problem: Application in Reversible Investments
• Adapted solution of a backward stochastic differential equation
• Switching problem and related system of reflected backward SDEs
• Stochastic optimal control. The discrete time case
• Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
• Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
• Title not available (Why is that?)
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Backward stochastic differential equations and applications to optimal control
• Backward equations, stochastic control and zero-sum stochastic differential games
• Existence of Optimal Stochastic Control Laws
• Zero-sum stochastic differential games and backward equations
• Title not available (Why is that?)
• Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
• A finite horizon optimal switching problem with memory and application to controlled SDDEs
• Stochastic Calculus and Applications
• Zero-sum path-dependent stochastic differential games in weak formulation

Cited In (2)

• Non-Markovian impulse control under nonlinear expectation
• Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers

This page was built for publication: Sequential systems of reflected backward stochastic differential equations with application to impulse control

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2156342)