Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes

DOI10.1080/17442508.2023.2262666MaRDI QIDQ6647795zbMATH OpenFDO

Authors Magnus Perninge

Publication date 3 December 2024

Published in Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/17442508.2023.2262666

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(1)

• Probabilistic representation for viscosity solutions to double-obstacle quasi-variational inequalities

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