4 citations · 10 across the 11 of their papers we have counts for
13 papers
Optimal Stopping of BSDEs with Constrained Jumps and Related Zero-Sum Games
Magnus Perninge
In this paper, we introduce a non-linear Snell envelope which at each time represents the maximal value that can be achieved by stopping a BSDE with constrained jumps. We establish…
Probabilistic Representation of Viscosity Solutions to Quasi-Variational Inequalities with Non-Local Drivers
Magnus Perninge
We consider quasi-variational inequalities (QVIs) with general non-local drivers and related systems of reflected backward stochastic differential equations (BSDEs) in a Brownian f…
Non-Markovian Impulse Control Under Nonlinear Expectation
Magnus Perninge
We consider a general type of non-Markovian impulse control problems under adverse non-linear expectation or, more specifically, the zero-sum game problem where the adversary playe…
Zero-sum Stochastic Differential Games of Impulse Versus Continuous Control by FBSDEs
Magnus Perninge
We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent c…
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…
A Note on Reflected BSDEs in Infinite Horizon with Stochastic Lipschitz Coefficients
Magnus Perninge
We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous res…
Finite Horizon Impulse control of Stochastic Functional Differential Equations
Johan Jönsson, Magnus Perninge
In this work we show that one can solve a finite horizon non-Markovian impulse control problem with control dependant dynamics. This dynamic satisfies certain functional Lipschitz…
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…
Discrete-time risk-aware optimal switching with non-adapted costs
Randall Martyr, John Moriarty, Magnus Perninge
We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existe…
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…
A Limited-Feedback Approximation Scheme for Optimal Switching Problems with Execution Delays
Magnus Perninge
We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering system…
A Control-variable Regression Monte Carlo Technique for Short-term Electricity Generation Planning
Magnus Perninge
In the day-to-day operation of a power system, the system operator repeatedly solves short-term generation planning problems. When formulating these problems the operators have to…