Impulse control problem with switching technology

DOI10.1080/17442508.2012.656644zbMATH Open1251.93136OpenAlexW2093619939MaRDI QIDQ4648599FDOQ4648599

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

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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)

Cites Work

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• On the Starting and Stopping Problem: Application in Reversible Investments
• Optimal Switching in an Economic Activity under Uncertainty
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• Impulse control problem on finite horizon with execution delay
• A finite horizon optimal multiple switching problem
• Selection theorems and their applications
• A PDE approach to regularity of solutions to finite horizon optimal switching problems
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• The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions
• Techniques probabilistes dans le contrôle impulsionnel

Cited In (3)

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

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