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Infinite horizon impulse control problem with continuous costs, numerical solutions
Journal article   Peer reviewed

Infinite horizon impulse control problem with continuous costs, numerical solutions

Hani Abidi, Rim Amami and Monique Pontier
Stochastics (Abingdon, Eng. : 2005), Vol.89(6-7), pp.1039-1060
03/10/2017
DOI: https://doi.org/10.1080/17442508.2017.1307985

Abstract

double barrier Impulse control infinite horizon reflected backward SDEs resolution by numerical schemes
This paper studies an infinite horizon impulse control problem where the costs are given by a diffusion process. The properties of the Snell envelope reduce this problem to the existence of a pair of continuous processes; this allows to establish an optimal impulse control solution. Finally, stability estimates and simulation results are provided.

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