Innovation, commutation et contr\^ole impulsionnel en horizon infini
Optimization and Control
2012-02-03 v4
Abstract
We consider an impulse control problem in infinite horizon. To solve this problem, we extend to the infinite horizon case results of double barrier reflected backward stochastic differential equations. The properties of the Snell envelope can reduce our problem to show the existence of a pair of measurable continuous processes.
Keywords
Cite
@article{arxiv.1201.2603,
title = {Innovation, commutation et contr\^ole impulsionnel en horizon infini},
author = {Rim Amami},
journal= {arXiv preprint arXiv:1201.2603},
year = {2012}
}