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Application of doubly reflected BSDEs to an impulse control problem
Journal article   Peer reviewed

Application of doubly reflected BSDEs to an impulse control problem

Rim Amami
Optimization, Vol.62(11), pp.1525-1552
01/11/2013

Abstract

double barrier impulse control infinite horizon reflected backward SDEs
We establish existence results for adapted solutions of infinite horizon backward stochastic differential equations with two reflected barriers. We also apply these results to get the existence of an optimal impulse control strategy for the infinite horizon impulse control problem. The properties of the Snell envelope reduce our problem to the existence of a pair of continuous processes.

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