Wednesday, November 3, 2021 - 16:00 in V10-122
Infinite Horizon Stochastic Impulse Control with Delay
A talk in the Bielefeld Stochastic Afternoon series by
Boualem Djehiche
| Abstract: |
$$\textbf{Bielefeld Stochastic Afternoon - Math Finance Session}$$
I will highlight recent results on a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general stochastic process adapted to the Brownian filtration, for which we establish the existence of an optimal strategy over all admissible strategies.
Within the CRC this talk is associated to the project(s): C3, C4, C5 |
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