Infinite horizon stochastic impulse control with delay and random coefficients
Boualem Djehiche, Said Hamadène, Ibtissem Hdhiri, Helmi Zaatra
| Year of publication: |
2022
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|---|---|
| Authors: | Djehiche, Boualem ; Hamadène, Said ; Hdhiri, Ibtissem ; Zaatra, Helmi |
| Published in: |
Mathematics of operations research. - Hanover, Md. : INFORMS, ISSN 1526-5471, ZDB-ID 2004273-5. - Vol. 47.2022, 1, p. 665-689
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| Subject: | backward stochastic differential equations | execution delay | infinite horizon | optimal impulse control | optimal stopping time | Snell envelope | stochastic control | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming | Suchtheorie | Search theory | Analysis | Mathematical analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2021.1145 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013364931