Impulse control problem on finite horizon with execution delay

DOI10.1016/j.spa.2008.07.007zbMath1159.93361arXivmath/0703769OpenAlexW2096750723MaRDI QIDQ1016624

Benjamin Bruder, Huyên Pham

Publication date: 6 May 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703769

zbMATH Keywords

dynamic programmingcomparison principlediffusion processesviscosity solutionsimpulse controlexecution delay

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stopping in statistics (62L15) Impulsive optimal control problems (49N25)

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