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Stochastic Impulse Control of Non-Markovian Processes · Study

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ArticleStochastic Impulse Control of Non-Markovian Processes

Boualem Djehiche2009

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Articlegreen2009

Stochastic Impulse Control of Non-Markovian Processes

Boualem Djehiche · Saïd Hamadène · Ibtissam Hdhiri

26 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Optimization and Variational Analysis

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References

1999Continuous Martingales and Brownian Motion 1990Adapted solution of a backward stochastic differential equation 1991Continuous Martingales and Brownian Motion 2005Applied Stochastic Control of Jump Diffusions 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's 1999Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type 1996Backward stochastic differential equations with reflection and Dynkin games 1993Impulse Control Method and Exchange Rate

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Year2009

Typearticle

Published2009-03-17

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-009-9070-4

openalex_workW2093469558

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