Application of doubly reflected BSDEs to an impulse control problem
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Publication:5746729
DOI10.1080/02331934.2013.855209zbMath1288.60071MaRDI QIDQ5746729
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
infinite horizon; impulse control; reflected backward stochastic differential equations; double barrier
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
35R60: PDEs with randomness, stochastic partial differential equations
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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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