Applications of an infinite horizon BSDE's to an impulse control problem
DOI10.1016/J.CRMA.2012.03.005zbMATH Open1237.93162OpenAlexW2092495427MaRDI QIDQ412589FDOQ412589
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
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Cites Work
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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- On the Starting and Stopping Problem: Application in Reversible Investments
- Adapted solution of a backward stochastic differential equation
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Cited In (6)
- Erratum. BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
- Application of doubly reflected BSDEs to an impulse control problem
- Some new BSDE results for an infinite-horizon stochastic control problem
- Sequential systems of reflected backward stochastic differential equations with application to impulse control
- Infinite horizon impulse control problem with continuous costs, numerical solutions
- Infinite horizon impulse control problem with jumps and continuous switching costs
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