Applications of an infinite horizon BSDE's to an impulse control problem

DOI10.1016/J.CRMA.2012.03.005zbMath1237.93162OpenAlexW2092495427MaRDI QIDQ412589

Rim Amami

Publication date: 4 May 2012

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2012.03.005

zbMATH Keywords

Snell envelopedouble barrier reflected backward stochastic differential equations (BSDE)impulse control problem in infinite horizon

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)

Cites Work

• Adapted solution of a backward stochastic differential equation
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• On the Starting and Stopping Problem: Application in Reversible Investments
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