Discrete time stochastic impulse control with delay
Fuente:
arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866915109631164416 |
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| author | Hamadène, Said Djehiche, Boualem |
| author_facet | Hamadène, Said Djehiche, Boualem |
| contents | We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all admissible strategies for both risk-neutral and risk-sensitive utility functions. Furthermore, we establish the existence of bounded $ε$-optimal strategies. This framework provides a robust approach to handling execution delays in discrete-time stochastic systems. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_10444 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Discrete time stochastic impulse control with delay Hamadène, Said Djehiche, Boualem Optimization and Control Probability We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all admissible strategies for both risk-neutral and risk-sensitive utility functions. Furthermore, we establish the existence of bounded $ε$-optimal strategies. This framework provides a robust approach to handling execution delays in discrete-time stochastic systems. |
| title | Discrete time stochastic impulse control with delay |
| topic | Optimization and Control Probability |
| url | https://arxiv.org/abs/2501.10444 |