Infinite horizon impulse control problem with continuous costs, numerical solutions

DOI10.1080/17442508.2017.1307985zbMATH Open1395.91269OpenAlexW2781802837MaRDI QIDQ4584684FDOQ4584684

Hani Abidi, Rim Amami, Monique Pontier

Publication date: 4 September 2018

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2017.1307985

zbMATH Keywords

infinite horizonimpulse controldouble barrierreflected backward SDEsresolution by numerical schemes

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Optimal stochastic control (93E20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• On the Starting and Stopping Problem: Application in Reversible Investments
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with reflection and Dynkin games
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
• On the One-Dimensional Optimal Switching Problem
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Error expansion for the discretization of backward stochastic differential equations
• A discrete-time approximation for doubly reflected BSDEs
• Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
• On the rate of convergence of the binomial tree scheme for American options
• Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
• Discrete-time approximation for continuously and discretely reflected BSDEs
• Application of doubly reflected BSDEs to an impulse control problem

Cited In (1)

• Infinite horizon impulse control problem with jumps and continuous switching costs

This page was built for publication: Infinite horizon impulse control problem with continuous costs, numerical solutions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4584684)