Stochastic impulse control of non-Markovian processes

DOI10.1007/s00245-009-9070-4zbMath1195.93144arXiv0806.2761MaRDI QIDQ989967

Boualem Djehiche, Said Hamadène, Ibtissam Hdhiri

Publication date: 23 August 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.2761

zbMATH Keywords

stochastic control; backward stochastic differential equations; optimal stopping time; Snell envelope; stochastic impulse control

Mathematics Subject Classification ID

93E20: Optimal stochastic control

49N25: Impulsive optimal control problems

Related Items

BSDE representations for optimal switching problems with controlled volatility, Risk sensitive impulse control of non-Markovian processes, Swing Options Valuation: A BSDE with Constrained Jumps Approach

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