Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients | PERPUSTAKAAN UNIVERSITAS KATOLIK PARAHYANGAN

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Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients

Djehiche, Boualem - Nama Orang; Hamadene, Said - Nama Orang; Hdhiri, Ibtissem - Nama Orang; Zaatra, Helmi - Nama Orang;

We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general stochastic process adapted to the Brownian filtration. The problem is solved by means of probabilistic tools relying on the notion of Snell envelope and infinite horizon reflected backward stochastic differential equations. This allows us to establish the existence of an optimal strategy over all admissible strategies.

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Barcode		Tipe Koleksi	Nomor Panggil	Lokasi	Status
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Informasi Detail

Judul Seri: MATHEMATICS OF OPERATIONS RESEARCH; Vol.47 No.1 February 2022
No. Panggil: -
Penerbit: : .,
Deskripsi Fisik: p. 665-689
Bahasa: English
ISBN/ISSN: -
Klasifikasi: NONE
Tipe Isi: -
Tipe Media: -
Tipe Pembawa: -
Edisi: -
Subjek: STOCHASTIC CONTROL
INFINITE HORIZON
SNELL ENVELOPE
OPTIMAL IMPULSE CONTROL
EXECUTION DELAY
OPTIMAL STOPPING TIME
BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
Info Detail Spesifik: https://doi.org/10.1287/moor.2021.1145
Pernyataan Tanggungjawab: Boualem Djehiche, Said Hamadene, Ibtissem Hdhiri, Helmi Zaatra

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