Innovation, commutation et contrôle impulsionnel en horizon infini

Details Innovation, commutation et contrôle impulsionnel en horizon infini Innovation, commutation et contrôle impulsionnel en horizon infini

2012-01-12

arxiv.org/abs/1201.2603v4

Mathematics

Optimization and Control

Scientific paper

We consider an impulse control problem in infinite horizon. To solve this
problem, we extend to the infinite horizon case results of double barrier
reflected backward stochastic differential equations. The properties of the
Snell envelope can reduce our problem to show the existence of a pair of
measurable continuous processes.

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