Infinite horizon impulse control problem with jumps and continuous switching costs

An Infinite Horizon Optimal Control Problem for Some Switching Systems

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 ...

Optimal Multi-Modes Switching Problem in Infinite Horizon

This paper studies the problem of the deterministic version of the Verification Theorem for the optimal m-states switching in infinite horizon under Markovian framework with arbitrary switching cost functions. The problem is formulated as an extended impulse control problem and solved by means of probabilistic tools such as the Snell envelop of processes and reflected backward stochastic differ...

State-feedback H∞ Control for Nonlinear Stochastic Systems with Markovian Jumps in Infinite Time Horizon ?

This paper discusses the H∞ control problem for a class of nonlinear stochastic systems with Markovian jumps subjected to both stateand disturbance-dependent noise. We establish the equivalent conditions among Hamilton-Jacobi inequality (HJI), Hamilton-Jacobi equality (HJE), the dissipative inequality and L2-gain property for this class of systems. As to the infinite time horizon case, we synth...

Infinite Horizon Noncooperative Differential Games with Non-Smooth Costs

both hi being integrable functions, whose smoothness will be addressed later. Very few results are known on the subject, except in two particular cases: two players zero-sum games and LQ games (where LQ stands for linear-quadratic). Indeed, a key step in this kind of problems is the study of the value function u. In the region where u is smooth, its components satisfy a system of HamiltonJacobi...