Infinite Horizon Impulse Control Problem with Jumps and Continuous Switching Costs
Overview & Synopsis
Existence results for adapted solutions of infinite horizon doubly reflected backward stochastic differential equations with jumps are established. These results are applied to get the existence of an optimal impulse control strategy for an infinite horizon impulse control problem. The properties of the Snell envelope reduce the problem to the existence of a pair of right continuous left limited processes. Finally, some numerical results are provided.
Indexed from repository: HAL Open Science
(
hal.science)
Keyboard Shortcuts:
← / → for pages • + / - for zoom • 0 to fit width
Powered by Mozilla PDF.js v3.11
Document Information
| Document Title | Infinite Horizon Impulse Control Problem with Jumps and Continuous Switching Costs |
|---|---|
| Author / Organization | Rim Amami, Monique Pontier, Hani Hani Abidi |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 2021 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-127092 |
| Original Source Link | Visit Source Page on hal.science » |