Infinite horizon impulse control problem with continuous costs, numerical solutions
From MaRDI portal
(Redirected from Publication:4584684)
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)
Recommendations
- Infinite horizon impulse control problem with jumps and continuous switching costs
- A computational method for stochastic impulse control problems
- Applications of an infinite horizon BSDE's to an impulse control problem
- Optimal impulse control on an unbounded domain with nonlinear cost functions
- Infinite horizon stochastic impulse control with delay and random coefficients
Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- scientific article; zbMATH DE number 1066318 (Why is no real title available?)
- A discrete-time approximation for doubly reflected BSDEs
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Adapted solution of a backward stochastic differential equation
- Application of doubly reflected BSDEs to an impulse control problem
- Backward stochastic differential equations with reflection and Dynkin games
- 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
- On the One-Dimensional Optimal Switching Problem
- On the Starting and Stopping Problem: Application in Reversible Investments
- On the rate of convergence of the binomial tree scheme for American options
Cited in
(12)- Stochastic impulse control problem with state and time dependent cost functions
- Applications of an infinite horizon BSDE's to an impulse control problem
- Impulse control of multidimensional jump diffusions
- Solution examples of an impulse control problem
- Asymptotics of impulse control problem with multiplicative reward
- NON-ROBUSTNESS OF SOME IMPULSE CONTROL PROBLEMS WITH RESPECT TO INTERVENTION COSTS
- Finite Horizon Impulse control of Stochastic Functional Differential Equations
- A class of solvable impulse control problems
- Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
- A computational method for stochastic impulse control problems
- Infinite horizon stochastic impulse control with delay and random coefficients
- 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)
