Infinite horizon impulse control problem with jumps and continuous switching costs

Purpose – The purpose of this paper is to show the existence results for adapted solutions of infinite horizon doubly reflected backward stochastic differential equations with jumps. These results are applied to get the existence of an optimal impulse control strategy for an infinite horizon impulse...

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Bibliografske podrobnosti

Principais autores:	Rim Amami, Monique Pontier, Hani Abidi
Format:	Artigo
Jezik:	Inglês
Izdano:	Emerald Publishing 2022-01-01
Serija:	Arab Journal of Mathematical Sciences
Teme:	Impulse control Infinite horizon Jumps Reflected backward stochastic differential equations Double barrier Constructive method of the solution
Online dostop:	https://www.emerald.com/insight/content/doi/10.1108/AJMS-10-2020-0088/full/pdf
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