Infinite Horizon Impulse Control of Stochastic Functional Differential Equations

arXiv2003.08833MaRDI QIDQ6337039FDOQ6337039

Publication date: 18 March 2020

Abstract: We consider impulse control of stochastic functional differential equations (SFDEs) driven by L'evy processes under an additional

L^{p}

-Lipschitz condition on the coefficients. Our results, which are first derived for a general stochastic optimization problem over infinite horizon impulse controls and then applied to the case of a controlled SFDE, apply to the infinite horizon as well as the random horizon settings. The methodology employed to show existence of optimal controls is a probabilistic one based on the concept of Snell envelopes.

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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