Optimal Stochastic Impulse Control with Delayed Reaction

By Bernt Øksendal, Agnès Sulem. 2008

61 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Information Systems

View Paper: https://www.semanticscholar.org/paper/957d49e648d54109c5c9ded5f17ec82fcef2b01e

How researchers see this paper

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In Economics and Econometrics

1. Huyen Pham
2. Thaleia Zariphopoulou
3. Yasushi Ishikawa
4. Peter A. Forsyth
5. Marek Musiela
6. Daniel Lacker
7. Y. Huang
8. Holger Kraft

In Finance

1. Huyen Pham
2. Thaleia Zariphopoulou
3. P. J. Graber
4. Yasushi Ishikawa
5. Peter A. Forsyth
6. Marek Musiela
7. Daniel Lacker
8. Y. Huang

Citations in the corpus

• Impulse control problem on finite horizon with execution delay (2007, background): “ue of the impulse is chosen at the time of execution, and on infinite horizon, and these two conditions are crucial in the proposed probabilistic resolution. We mention also the works [3] and recently [12], which study impulse problems in infinite horizon with arbitrary number of pending orders, but u”