Sequential systems of reflected backward stochastic differential equations with application to impulse control

DOI10.1007/S00245-022-09891-YMaRDI QIDQ2156342zbMATH OpenOpenAlexWikidataFDO

Authors Magnus Perninge

Publication date 18 July 2022

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00245-022-09891-y

zbMATH Keywords

impulse controlstochastic differential gamereflected backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Differential games (aspects of game theory) (91A23) Impulsive optimal control problems (49N25) Stochastic games, stochastic differential games (91A15)

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Cited in

(3)

• Application of doubly reflected BSDEs to an impulse control problem
• Non-Markovian impulse control under nonlinear expectation
• Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers

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