Finite Horizon Impulse control of Stochastic Functional Differential Equations

DOI10.1137/20m1350303zbMath1515.60197arXiv2006.09768OpenAlexW3035855017MaRDI QIDQ6042798

Magnus Perninge, Unnamed Author

Publication date: 4 May 2023

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.09768

zbMATH Keywords

dynamic programmingstochastic delay equationsimpulse controlstopping timesbackward SDEsSnell envelope

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Mathematical economics (91B99)

Related Items

Non-Markovian impulse control under nonlinear expectation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal stopping time problem in a general framework
• Applied stochastic control of jump diffusions.
• A finite horizon optimal switching problem with memory and application to controlled SDDEs
• Numerical methods for controlled stochastic delay systems
• Stochastic impulse control of non-Markovian processes
• Impulse control problem on finite horizon with execution delay
• Optimal stochastic impulse control with delayed reaction
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Explicit investment rules with time-to-build and uncertainty
• A General Verification Result for Stochastic Impulse Control Problems
• A Finite Horizon Optimal Multiple Switching Problem
• Explicit Solution of Inventory Problems with Delivery Lags
• Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis
• On the Starting and Stopping Problem: Application in Reversible Investments
• Applications of Martingale System Theorems