Application of doubly reflected BSDEs to an impulse control problem
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Publication:5746729
DOI10.1080/02331934.2013.855209zbMath1288.60071OpenAlexW2050707226MaRDI QIDQ5746729
Publication date: 7 February 2014
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2013.855209
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) PDEs with randomness, stochastic partial differential equations (35R60)
Related Items (3)
Infinite horizon impulse control problem with jumps and continuous switching costs ⋮ Infinite horizon impulse control problem with continuous costs, numerical solutions ⋮ Optimization Methods in Mathematical Finance
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