Finite Horizon Impulse control of Stochastic Functional Differential Equations

DOI10.1137/20M1350303zbMATH Open1515.60197arXiv2006.09768OpenAlexW3035855017MaRDI QIDQ6042798FDOQ6042798

Authors: Magnus Perninge 

Publication date: 4 May 2023

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: 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 conditions and is path dependent in such a way that the resulting trajectory becomes a flow.

Full work available at URL: https://arxiv.org/abs/2006.09768

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zbMATH Keywords

dynamic programmingbackward SDEsstopping timesimpulse controlSnell envelopestochastic delay equations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Mathematical economics (91B99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cited In (3)

• Non-Markovian impulse control under nonlinear expectation
• Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
• Robust classical-impulse stochastic control problems in an infinite horizon

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