Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients
DOI10.1287/moor.2021.1145OpenAlexW3197257619MaRDI QIDQ5076720
Helmi Zaatra, Said Hamadène, Boualem Djehiche, Ibtissem Hdhiri
Publication date: 17 May 2022
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.11924
infinite horizonstochastic controlbackward stochastic differential equationsoptimal stopping timeSnell envelopeoptimal impulse controlexecution delay
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Impulsive optimal control problems (49N25) Impulsive control/observation systems (93C27)
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Cites Work
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