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4 papers
Finite Horizon Robust Impulse Control in a Non-Markovian Framework and Related Systems of Reflected BSDEs
Magnus Perninge
We consider a robust impulse control problem in finite horizon where the underlying uncertainty stems from an impulsively and continuously controlled functional stochastic differen…
Infinite Horizon Impulse Control of Stochastic Functional Differential Equations
Magnus Perninge
We consider impulse control of stochastic functional differential equations (SFDEs) driven by Lévy processes under an additional -Lipschitz condition on the coefficients. Our…
A Finite Horizon Optimal Switching Problem with Memory and Application to Controlled SDDEs
Magnus Perninge
We consider an optimal switching problem where the terminal reward depends on the entire control trajectory. We show existence of an optimal control by applying a probabilistic tec…
On the Finite Horizon Optimal Switching Problem with Random Lag
Magnus Perninge
We consider an optimal switching problem with random lag and possibility of component failure. The random lag is modeled by letting the operation mode follow a regime switching Mar…