A Finite Horizon Optimal Stochastic Impulse Control Problem with A Decision Lag

zbMath1458.93266arXiv2005.04555MaRDI QIDQ5147773

Chang Li, Jiong-min Yong

Publication date: 28 January 2021

Full work available at URL: https://arxiv.org/abs/2005.04555

zbMATH Keywords

dynamic programmingviscosity solutiondiffusion processesimpulse controldecision lag

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25) Impulsive control/observation systems (93C27)

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