Applications of an infinite horizon BSDE's to an impulse control problem
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Publication:412589
DOI10.1016/j.crma.2012.03.005zbMath1237.93162MaRDI QIDQ412589
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
Snell envelope; double barrier reflected backward stochastic differential equations (BSDE); impulse control problem in infinite horizon
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E03: Stochastic systems in control theory (general)
Cites Work