Infinite horizon impulse control problem with continuous costs, numerical solutions

被引：0

作者：

Abidi, Hani ^{[1
]}

Amami, Rim ^{[1
]}

Pontier, Monique ^{[2
]}

机构：

[1] Univ Tunis El Manar, Dept Math, Fac Sci Tunis, Tunis, Tunisia

[2] Inst Math, Dept Math, Toulouse, France

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS | 2017年 / 89卷 / 6-7期

关键词：

Impulse control; infinite horizon; reflected backward SDEs; double barrier; resolution by numerical schemes; STOCHASTIC DIFFERENTIAL-EQUATIONS; DISCRETE-TIME APPROXIMATION; DOUBLY REFLECTED BSDES; AMERICAN OPTIONS; CONVERGENCE; SIMULATION;

D O I：

10.1080/17442508.2017.1307985

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper studies an infinite horizon impulse control problem where the costs are given by a diffusion process. The properties of the Snell envelope reduce this problem to the existence of a pair of continuous processes; this allows to establish an optimal impulse control solution. Finally, stability estimates and simulation results are provided.

引用

页码：1039 / 1060

页数：22

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