Infinite horizon impulse control problem with continuous costs, numerical solutions

DOI10.1080/17442508.2017.1307985MaRDI QIDQ4584684zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Discrete-time approximation for continuously and discretely reflected BSDEs
• Error expansion for the discretization of backward stochastic differential equations
• Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
• Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
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• On the Starting and Stopping Problem: Application in Reversible Investments
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Cited in

(12)

• A class of solvable impulse control problems
• Asymptotics of impulse control problem with multiplicative reward
• Solution examples of an impulse control problem
• Stochastic impulse control problem with state and time dependent cost functions
• Infinite horizon stochastic impulse control with delay and random coefficients
• Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
• Applications of an infinite horizon BSDE's to an impulse control problem
• Infinite horizon impulse control problem with jumps and continuous switching costs
• Impulse control of multidimensional jump diffusions
• A computational method for stochastic impulse control problems
• NON-ROBUSTNESS OF SOME IMPULSE CONTROL PROBLEMS WITH RESPECT TO INTERVENTION COSTS
• Finite Horizon Impulse control of Stochastic Functional Differential Equations

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