scholarly journals Stochastic impulse control of nonsmooth dynamics with partial observation and execution delay: Application to an environmental restoration problem

2021 ◽  
Author(s):  
Hidekazu Yoshioka ◽  
Yuta Yaegashi
Keyword(s):  
Impulse Control ◽  
Nonsmooth Dynamics ◽  
Environmental Restoration ◽  
Partial Observation ◽  
Stochastic Impulse Control ◽  
Execution Delay ◽  
Restoration Problem

scholarly journals Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients

2021 ◽  
Author(s):  
Boualem Djehiche ◽  
Said Hamadène ◽  
Ibtissem Hdhiri ◽  
Helmi Zaatra
Keyword(s):  
Stochastic Process ◽  
Optimal Strategy ◽  
Impulse Control ◽  
Infinite Horizon ◽  
Random Coefficients ◽  
Control Problems ◽  
Snell Envelope ◽  
Stochastic Impulse Control ◽  
Admissible Strategies ◽  
Execution Delay

We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general stochastic process adapted to the Brownian filtration. The problem is solved by means of probabilistic tools relying on the notion of Snell envelope and infinite horizon reflected backward stochastic differential equations. This allows us to establish the existence of an optimal strategy over all admissible strategies.

scholarly journals Stochastic Impulse Control of Non-Markovian Processes

2009 ◽  
Vol 61 (1) ◽  
pp. 1-26 ◽  
Author(s):  
Boualem Djehiche ◽  
Said Hamadène ◽  
Ibtissam Hdhiri
Keyword(s):  
Impulse Control ◽  
Markovian Processes ◽  
Stochastic Impulse Control

Stochastic impulse control with regime-switching dynamics

2017 ◽  
Vol 260 (3) ◽  
pp. 1024-1042 ◽  
Author(s):  
Ralf Korn ◽  
Yaroslav Melnyk ◽  
Frank Thomas Seifried
Keyword(s):  
Regime Switching ◽  
Impulse Control ◽  
Stochastic Impulse Control ◽  
Switching Dynamics

A General Verification Result for Stochastic Impulse Control Problems

2017 ◽  
Vol 55 (2) ◽  
pp. 627-649 ◽  
Author(s):  
Christoph Belak ◽  
Sören Christensen ◽  
Frank Thomas Seifried
Keyword(s):  
Impulse Control ◽  
Control Problems ◽  
Stochastic Impulse Control
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