caa a22 4500 445839880 CHVBK 20180317145340.0 cr unu---uuuuu 170323e20110801xx s 000 0 eng 10.1007/s00186-010-0338-x doi (NATIONALLICENCE)springer-10.1007/s00186-010-0338-x Risk sensitive impulse control of non-Markovian processes [Elektronische Daten] [Ibtissam Hdhiri, Monia Karouf] We consider the problem of an optimal stochastic impulse control of non-Markovian Processes when the expression of the cost functional integrates sensitiveness with respect to the risk. For this class, we try to establish the existence of an optimal strategy. We prove that our impulse control problem could be reduced to an iterative sequence of optimal stopping ones. Basically, the problem is solved using techniques involving the Snell envelope notion. Springer-Verlag, 2011 Impulse control problem nationallicence Snell envelope nationallicence Stochastic control nationallicence Optimal stopping time nationallicence Exponential utility nationallicence Hdhiri Ibtissam Faculté de Sciences de Gabès & URMAPM, Gabès, Tunisie aut Karouf Monia Université 7 nouvembre de Carthage, Unité de recherche, Analyse Stochastique et Modélisation Statistique, Gabès, Tunisie aut Mathematical Methods of Operations Research Springer-Verlag 74/1(2011-08-01), 1-20 1432-2994 74:1<1 2011 74 186 https://doi.org/10.1007/s00186-010-0338-x text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00186-010-0338-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Hdhiri Ibtissam Faculté de Sciences de Gabès & URMAPM, Gabès, Tunisie aut NATIONALLICENCE 700 1- Karouf Monia Université 7 nouvembre de Carthage, Unité de recherche, Analyse Stochastique et Modélisation Statistique, Gabès, Tunisie aut NATIONALLICENCE 773 0- Mathematical Methods of Operations Research Springer-Verlag 74/1(2011-08-01), 1-20 1432-2994 74:1<1 2011 74 186 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer