Finite Horizon Robust Impulse Control in a Non-Markovian Framework and Related Systems of Reflected BSDEs

arXiv2103.16272MaRDI QIDQ6364102FDOQ6364102

Publication date: 30 March 2021

Abstract: We consider a robust impulse control problem in finite horizon where the underlying uncertainty stems from an impulsively and continuously controlled functional stochastic differential equation (FSDE) driven by Brownian motion. We assume that the controller acts upon the system by impulses while the adversary player (nature) acts through continuous controls. We look for a weak solution which leads us to consider a system of sequentially interconnected, obliquely reflected backward stochastic differential equations (RBSDEs) with stochastic Lipschitz coefficients. We show existence of solutions to our system of RBSDEs by applying a Picard iteration approach. Uniqueness then follows by relating the limit to an auxiliary impulse control problem.

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20) Existence of solutions for minimax problems (49J35)

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