Applications of an infinite horizon BSDE's to an impulse control problem

DOI10.1016/J.CRMA.2012.03.005MaRDI QIDQ412589zbMATH OpenOpenAlexFDO

Authors Rim Amami

Publication date 4 May 2012

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2012.03.005

zbMATH Keywords

Snell envelopedouble barrier reflected backward stochastic differential equations (BSDE)impulse control problem in infinite horizon

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)

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Cites work

• scientific article; zbMATH DE number 3740439 (Why is no real title available?)
• scientific article; zbMATH DE number 3773426 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1066321 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• On the Starting and Stopping Problem: Application in Reversible Investments
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's

Cited in

(6)

• Infinite horizon impulse control problem with continuous costs, numerical solutions
• Erratum. BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
• Sequential systems of reflected backward stochastic differential equations with application to impulse control
• Infinite horizon impulse control problem with jumps and continuous switching costs
• Application of doubly reflected BSDEs to an impulse control problem
• Some new BSDE results for an infinite-horizon stochastic control problem

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