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Risk sensitive impulse control of non-Markovian processes

Author

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  • Ibtissam Hdhiri
  • Monia Karouf

Abstract

We consider the problem of an optimal stochastic impulse control of non-Markovian Processes when the expression of the cost functional integrates sensitiveness with respect to the risk. For this class, we try to establish the existence of an optimal strategy. We prove that our impulse control problem could be reduced to an iterative sequence of optimal stopping ones. Basically, the problem is solved using techniques involving the Snell envelope notion. Copyright Springer-Verlag 2011

Suggested Citation

  • Ibtissam Hdhiri & Monia Karouf, 2011. "Risk sensitive impulse control of non-Markovian processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(1), pages 1-20, August.
    • Handle: RePEc:spr:mathme:v:74:y:2011:i:1:p:1-20
    DOI: 10.1007/s00186-010-0338-x
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    References listed on IDEAS

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    1. Abel Cadenillas & Fernando Zapatero, 2000. "Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 141-156, April.
    2. Stefano Baccarin & Simona Sanfelici, 2006. "Optimal impulse control on an unbounded domain with nonlinear cost functions," Computational Management Science, Springer, vol. 3(1), pages 81-100, January.
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    Cited by:

    1. Damian Jelito & Marcin Pitera & {L}ukasz Stettner, 2019. "Long-run risk sensitive impulse control," Papers 1912.02488, arXiv.org, revised Apr 2020.
    2. Jelito, Damian & Pitera, Marcin & Stettner, Łukasz, 2021. "Risk sensitive optimal stopping," Stochastic Processes and their Applications, Elsevier, vol. 136(C), pages 125-144.

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