Risk-sensitive impulse control problems with jumps and execution delays

DOI10.3934/MCRF.2025021MaRDI QIDQ6850727zbMATH OpenFDO

Authors Ibtissam Hdhiri, Helmi Zaatra

Publication date 2 March 2026

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/MCRF.2025021

zbMATH Keywords

Brownian motionexecution delaysexponential utilityfinite horizonoptimal stoppingPoisson processSnell envelopestochastic optimal impulse control

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Brownian motion (60J65) Optimal stopping in statistics (62L15) Optimal stochastic control (93E20)

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