arXiv subjects
Publications and source records attributed to Rim Amami.
We consider an impulse control problem in infinite horizon. To solve this problem, we extend to the infinite horizon case results of double barrier reflected backward stochastic differential equations. The properties of the Snell envelope can reduce our problem to show the existence of a pair of measurable continuous processes.
We consider an impulse control problem in infinite horizon applied with switching technology. We suppose that the firm decides at certain moments (impulse moments) to switch technology, leading to a jump of the firm value. We show that the value function for such problems satisfies a dynamic programming principle version. Our objective is to look for an optimal strategy which maximizes the value function associated with a switching problem.