دورية أكاديمية
Infinite horizon impulse control problem with jumps and continuous switching costs
| العنوان: | Infinite horizon impulse control problem with jumps and continuous switching costs |
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| المؤلفون: | Rim Amami, Monique Pontier, Hani Abidi |
| المصدر: | Arab Journal of Mathematical Sciences, Vol 28, Iss 1, Pp 2-36 (2022) |
| بيانات النشر: | Emerald Publishing, 2022. |
| سنة النشر: | 2022 |
| المجموعة: | LCC:Mathematics |
| مصطلحات موضوعية: | Impulse control, Infinite horizon, Jumps, Reflected backward stochastic differential equations, Double barrier, Constructive method of the solution, Mathematics, QA1-939 |
| الوصف: | 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 control problem. Design/methodology/approach – The main methods used to achieve the objectives of this paper are the properties of the Snell envelope which reduce the problem of impulse control to the existence of a pair of right continuous left limited processes. Some numerical results are provided to show the main results. Findings – In this paper, the authors found the existence of a couple of processes via the notion of doubly reflected backward stochastic differential equation to prove the existence of an optimal strategy which maximizes the expected profit of a firm in an infinite horizon problem with jumps. Originality/value – In this paper, the authors found new tools in stochastic analysis. They extend to the infinite horizon case the results of doubly reflected backward stochastic differential equations with jumps. Then the authors prove the existence of processes using Envelope Snell to find an optimal strategy of our control problem. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English |
| تدمد: | 2588-9214 1319-5166 |
| العلاقة: | https://doaj.org/toc/1319-5166Test; https://doaj.org/toc/2588-9214Test |
| DOI: | 10.1108/AJMS-10-2020-0088/full/pdf |
| DOI: | 10.1108/AJMS-10-2020-0088 |
| الوصول الحر: | https://doaj.org/article/98c8d3606ad84aef8691b306191bd45eTest |
| رقم الانضمام: | edsdoj.98c8d3606ad84aef8691b306191bd45e |
| قاعدة البيانات: | Directory of Open Access Journals |
Full Text Finder | تدمد: | 25889214 13195166 |
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| DOI: | 10.1108/AJMS-10-2020-0088/full/pdf |