Optimal stopping and impulse control in the presence of an anticipated regime switch

DOI10.1007/s00186-023-00838-9OpenAlexW4387177825MaRDI QIDQ6080761

Luis H. R. Alvarez E., Wiljami Sillanpää

Publication date: 25 October 2023

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-023-00838-9

zbMATH Keywords

optimal stoppingregime switchingdiffusionsimpulse controlanticipative control

Mathematics Subject Classification ID

Markov processes (60J99) Impulsive optimal control problems (49N25) Existence of optimal solutions to problems involving randomness (49J55)

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