Infinite horizon impulse control problem with jumps and continuous switching costs
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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Emerald Publishing
2022-01-01
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| Series: | Arab Journal of Mathematical Sciences |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/AJMS-10-2020-0088/full/pdf |