Optimal stochastic impulse control with random coefficients and execution delay
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Publication:5085830
DOI10.1080/17442508.2017.1315945zbMath1498.93778OpenAlexW2611824016MaRDI QIDQ5085830
Publication date: 30 June 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2017.1315945
stochastic controlbackward stochastic differential equationsoptimal stopping timeSnell envelopeoptimal impulse controlexecution delay
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)
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Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients ⋮ Non-Markovian impulse control under nonlinear expectation ⋮ A Finite Horizon Optimal Stochastic Impulse Control Problem with A Decision Lag
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