Risk sensitive impulse control of non-Markovian processes

DOI10.1007/s00186-010-0338-xzbMath1225.60070OpenAlexW2063818902MaRDI QIDQ639355

Monia Karouf, Ibtissam Hdhiri

Publication date: 20 September 2011

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

Full work available at URL: https://doi.org/10.1007/s00186-010-0338-x

zbMATH Keywords

stochastic controloptimal stopping timeimpulse control problemexponential utilitySnell envelope

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (6)

Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients ⋮ Optimal stochastic impulse control with random coefficients and execution delay ⋮ Long-Run Risk-Sensitive Impulse Control ⋮ Risk sensitive optimal stopping ⋮ Long-run risk sensitive dyadic impulse control ⋮ An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems

Cites Work

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• Optimal impulse control on an unbounded domain with nonlinear cost functions
• Stochastic impulse control of non-Markovian processes
• Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
• On the Optimal Impulse Control Problem for Degenerate Diffusions
• Reflected BSDE's with discontinuous barrier and application

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