Impulse control problem on finite horizon with execution delay
نویسندگان
چکیده
منابع مشابه
Impulse control problem on finite horizon with execution delay
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before the effective execution of the first one. This is motivated by financial applications in the trading of illiquid assets such as hedge funds. We show that the ...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2009
ISSN: 0304-4149
DOI: 10.1016/j.spa.2008.07.007