Impulse control problem with switching technology

DOI10.1080/17442508.2012.656644MaRDI QIDQ4648599zbMATH OpenOpenAlexFDO

Authors Rim Amami

Publication date 9 November 2012

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2012.656644

zbMATH Keywords

impulse control problemdynamic programming principlemaximum conditional profit

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 425394 (Why is no real title available?)
• scientific article; zbMATH DE number 3773426 (Why is no real title available?)
• scientific article; zbMATH DE number 3618021 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A PDE approach to regularity of solutions to finite horizon optimal switching problems
• A finite horizon optimal multiple switching problem
• Impulse control problem on finite horizon with execution delay
• On the Starting and Stopping Problem: Application in Reversible Investments
• Optimal Switching in an Economic Activity under Uncertainty
• Selection theorems and their applications
• Techniques probabilistes dans le contrôle impulsionnel
• The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions

Cited in

(3)

• Solution examples of an impulse control problem
• Infinite horizon stochastic impulse control with delay and random coefficients
• Stochastic impulse control with regime-switching dynamics

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