Infinite horizon impulse control problem with jumps and continuous switching costs
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Cites work
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- Application of doubly reflected BSDEs to an impulse control problem
- Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations with reflection and Dynkin games
- BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
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- Infinite horizon impulse control problem with continuous costs, numerical solutions
- Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
- Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
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Cited in
(7)- Applications of an infinite horizon BSDE's to an impulse control problem
- Infinite horizon impulse control problem with continuous costs, numerical solutions
- Infinite horizon stochastic impulse control with delay and random coefficients
- On a switching control problem with càdlàg costs
- Application of doubly reflected BSDEs to an impulse control problem
- Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
- L^2-convergence of Yosida approximation for semi-linear backward stochastic differential equation with jumps in infinite dimension
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