13 février 2024
Séminaire_13_février
Saïd Hamadène (Le Mans Université)
Le 13 février 2024
Stochastic Impulse Control with Delay and Random Coefficients.
Résumé : In this talk we discuss an infinite horizon impulse control problem with execution delay when the dynamics of the system is described by a general stochastic process adapted to the Brownian filtration. The problem is solved by means of probabilistic tools relying on the notion of Snell envelope and infinite horizon reflected backward stochastic differential equations. This allows us to establish the existence of an optimal strategy over all admissible strategies. We consider also the case of exponential utilities.
The talk is based on the paper:
Djehiche, B., Hamadène, S., Hdhiri, I., Zaatra, H., Infinite horizon stochastic impulse control with delay and random coefficients, Mathematics of Operations Research, 2022, 47(1), 665-689.
