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Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
Le Mans Univ, LMM, F-72085 Le Mans 9, France..
Fac Sci Gabes, LR17ES11, Zrig Eddakhlania, Tunisia..
Fac Sci Gabes, LR17ES11, Zrig Eddakhlania, Tunisia..
2022 (English)In: Mathematics of Operations Research, ISSN 0364-765X, E-ISSN 1526-5471, Vol. 47, no 1, p. 665-689Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Institute for Operations Research and the Management Sciences (INFORMS) , 2022. Vol. 47, no 1, p. 665-689
Keywords [en]
optimal impulse control, execution delay, Infinite horizon, Snell envelope, slochastic control, optimal stopping time, backward stochastic differential equations
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-310224DOI: 10.1287/moor.2021.1145ISI: 000731950100001Scopus ID: 2-s2.0-85125592706OAI: oai:DiVA.org:kth-310224DiVA, id: diva2:1647315
Note

QC 20220325

Available from: 2022-03-25 Created: 2022-03-25 Last updated: 2022-09-19Bibliographically approved

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Djehiche, Boualem

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