Infinite horizon impulse control problem with jumps and continuous switching costs
DOI10.1108/AJMS-10-2020-0088zbMath1499.93039OpenAlexW3130597462MaRDI QIDQ5084316
Rim Amami, Hani Abidi, Monique Pontier
Publication date: 24 June 2022
Published in: Arab Journal of Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1108/ajms-10-2020-0088
infinite horizonimpulse controlreflected backward stochastic differential equationsdouble barrierconstructive method of solution
Optimal stochastic control (93E20) PDEs with randomness, stochastic partial differential equations (35R60) Jump processes on discrete state spaces (60J74) Impulsive control/observation systems (93C27)
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