Optimal stochastic impulse control with random coefficients and execution delay

DOI10.1080/17442508.2017.1315945zbMath1498.93778OpenAlexW2611824016MaRDI QIDQ5085830

Monia Karouf, Ibtissam Hdhiri

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

zbMATH Keywords

stochastic controlbackward stochastic differential equationsoptimal stopping timeSnell envelopeoptimal impulse controlexecution delay

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

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

Cites Work

• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Risk sensitive impulse control of non-Markovian processes
• Applied stochastic control of jump diffusions.
• The effects of implementation delay on decision-making under uncertainty
• Stochastic impulse control of non-Markovian processes
• Impulse control problem on finite horizon with execution delay
• Optimal stochastic impulse control with delayed reaction
• A model of sequential investment
• Ecole d'ete de probabilités de Saint-Flour IX-1979. Ed. par P. L. Hennequin
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Optimal stopping and a martingale approach to the penalty method
• Some applications of impulse control in mathematical finance
• Impulsive control of portfolios
• The Liquidity Discount
• Impulse Control of Brownian Motion
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Impulse Control Method and Exchange Rate
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Optimal stopping problems with discontinous reward: Regularity of the value function and viscosity solutions
• A class of singular stochastic control problems
• Reflected BSDE's with discontinuous barrier and application
• Explicit Solution of Inventory Problems with Delivery Lags
• The impact of delivery lags on irreversible investment under uncertainty