Stochastic impulse control problem with state and time dependent cost functions
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Cites work
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 488339 (Why is no real title available?)
- scientific article; zbMATH DE number 3232606 (Why is no real title available?)
- A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
- A class of solvable impulse control problems
- A general verification result for stochastic impulse control problems
- A measure approach for continuous inventory models: discounted cost criterion
- A stochastic target formulation for optimal switching problems in finite horizon
- A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
- Applied stochastic control of jump diffusions
- Backward SDEs with constrained jumps and quasi-variational inequalities
- Classical and impulse stochastic control of the exchange rate using interest rates and reserves.
- Deterministic minimax impulse control in finite horizon: the viscosity solution approach
- Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
- Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
- Impulse control of multidimensional jump diffusions in finite time horizon
- Impulsive control of portfolios
- On the Optimal Stochastic Impulse Control of Linear Diffusions
- Optimal stochastic intervention control with application to the exchange rate
- Probabilistic representation and approximation for coupled systems of variational inequalities
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
- Some applications of impulse control in mathematical finance
- Stochastic Forest Stand Value and Optimal Timber Harvesting
- Stochastic differential switching game in infinite horizon
- The stochastic rotation problem: A generalization of Faustmann's formula to stochastic forest growth
- The value of a minimax problem involving impulse control
- User’s guide to viscosity solutions of second order partial differential equations
- Viscosity solutions associated with impulse control problems for piecewise-deterministic processes
- Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
- Zero-sum Markov games with stopping and impulsive strategies
- Zero-sum stochastic differential game in finite horizon involving impulse controls
Cited in
(8)- A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application
- HJB equation for optimal control system with random impulses
- Regression Monte Carlo for impulse control
- A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
- NON-ROBUSTNESS OF SOME IMPULSE CONTROL PROBLEMS WITH RESPECT TO INTERVENTION COSTS
- Finite Horizon Impulse control of Stochastic Functional Differential Equations
- A zero-sum deterministic impulse controls game in infinite horizon with a new HJBI-QVI
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