Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes

DOI10.1080/17442508.2023.2262666MaRDI QIDQ6647795

Magnus Perninge

Publication date: 3 December 2024

Published in: Stochastics (Search for Journal in Brave)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A finite horizon optimal switching problem with memory and application to controlled SDDEs
• Switching problem and related system of reflected backward SDEs
• Stochastic impulse control of non-Markovian processes
• Optimal stochastic impulse control with delayed reaction
• Stochastic optimal control. The discrete time case
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Stochastic control of memory mean-field processes
• Some applications of impulse control in mathematical finance
• Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates
• Impulsive control of portfolios
• Finite-Horizon Optimal Multiple Switching with Signed Switching Costs
• A Finite Horizon Optimal Multiple Switching Problem
• Pricing Asset Scheduling Flexibility using Optimal Switching
• Reflected BSDE's with discontinuous barrier and application
• Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients
• Optimal stochastic impulse control with random coefficients and execution delay
• ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
• Applied stochastic control of jump diffusions
• Finite Horizon Impulse control of Stochastic Functional Differential Equations

This page was built for publication: Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes