Robust classical-impulse stochastic control problems in an infinite horizon
This paper establishes a general analytical framework for classical and impulse stochastic control problems in the presence of model uncertainty. We consider a set of dominated models, which are induced by the measures equivalent to that of a reference model. The state process under the reference mo...
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| Format: | Journal Article |
| Language: | English |
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2022
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| Online Access: | https://hdl.handle.net/10356/163253 |