English

Discrete time stochastic impulse control with delay

Optimization and Control 2025-01-22 v1 Probability

Abstract

We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all admissible strategies for both risk-neutral and risk-sensitive utility functions. Furthermore, we establish the existence of bounded ϵ\epsilon-optimal strategies. This framework provides a robust approach to handling execution delays in discrete-time stochastic systems.

Keywords

Cite

@article{arxiv.2501.10444,
  title  = {Discrete time stochastic impulse control with delay},
  author = {Said Hamadène and Boualem Djehiche},
  journal= {arXiv preprint arXiv:2501.10444},
  year   = {2025}
}
R2 v1 2026-06-28T21:09:43.357Z