Stochastic impulse control of non-Markovian processes

DOI10.1007/S00245-009-9070-4zbMATH Open1195.93144arXiv0806.2761OpenAlexW2093469558MaRDI QIDQ989967FDOQ989967

Authors: Boualem Djehiche, Said Hamadène, Ibtissam Hdhiri 

Publication date: 23 August 2010

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

Abstract: We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of combined optimal stochastic and impulse control of a fairly general class of diffusions with random coefficients. Unlike, in the Markovian framework, we cannot apply quasi-variational inequalities techniques. We rather derive the main results using techniques involving reflected BSDEs and the Snell envelope.

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

Recommendations

• Risk sensitive impulse control of non-Markovian processes
• Infinite horizon stochastic impulse control with delay and random coefficients
• A general verification result for stochastic impulse control problems
• Impulse control of piecewise deterministic Markov processes
• scientific article; zbMATH DE number 3894967

zbMATH Keywords

backward stochastic differential equationsoptimal stopping timestochastic controlSnell envelopestochastic impulse control

Mathematics Subject Classification ID

Impulsive optimal control problems (49N25) Optimal stochastic control (93E20)

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Adapted solution of a backward stochastic differential equation
• Applied stochastic control of jump diffusions
• Backward stochastic differential equations with reflection and Dynkin games
• Title not available (Why is that?)
• Reflected BSDE's with discontinuous barrier and application
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Some applications of impulse control in mathematical finance
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
• Stochastic Forest Stand Value and Optimal Timber Harvesting
• The Existence of Value in Stochastic Differential Games
• Optimal impulse control on an unbounded domain with nonlinear cost functions
• THE FOREST ROTATION PROBLEM WITH STOCHASTIC HARVEST AND AMENITY VALUE

Cited In (13)

• Impulse control of conditional McKean-Vlasov jump diffusions
• A general verification result for stochastic impulse control problems
• Optimal stochastic impulse control with random coefficients and execution delay
• Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
• Impulsive Control for Continuous-Time Markov Decision Processes
• Non-Markovian impulse control under nonlinear expectation
• The solution to an impulse control problem motivated by optimal harvesting
• Finite Horizon Impulse control of Stochastic Functional Differential Equations
• Risk sensitive impulse control of non-Markovian processes
• Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
• Infinite horizon stochastic impulse control with delay and random coefficients
• Swing options valuation: a BSDE with constrained jumps approach
• BSDE representations for optimal switching problems with controlled volatility

This page was built for publication: Stochastic impulse control of non-Markovian processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q989967)