Application of doubly reflected BSDEs to an impulse control problem

DOI10.1080/02331934.2013.855209zbMath1288.60071MaRDI QIDQ5746729

Rim Amami

Publication date: 7 February 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2013.855209

zbMATH Keywords

infinite horizon; impulse control; reflected backward stochastic differential equations; double barrier

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

35R60: PDEs with randomness, stochastic partial differential equations

Related Items

Infinite horizon impulse control problem with continuous costs, numerical solutions, Infinite horizon impulse control problem with jumps and continuous switching costs, Optimization Methods in Mathematical Finance

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