Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients

Boualem Djehiche, Said Hamadène, Ibtissem Hdhiri, Helmi Zaatra

Research output: Contribution to journalArticlepeer-review


We study 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. The problem is solved by means of probabilistic tools relying on the notion of Snell envelope and infinite horizon reflected backward stochastic differential equations. This allows us to establish the existence of an optimal strategy over all admissible strategies.

Original languageEnglish (US)
Pages (from-to)665-689
Number of pages25
JournalMathematics of Operations Research
Issue number1
StatePublished - Feb 2022


  • Backward stochastic differential equations
  • Execution delay
  • Infinite horizon
  • Optimal impulse control
  • Optimal stopping time
  • Snell envelope
  • Stochastic control

ASJC Scopus subject areas

  • General Mathematics
  • Computer Science Applications
  • Management Science and Operations Research


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