Stochastic impulse control of non-Markovian processes

DOI10.1007/S00245-009-9070-4MaRDI QIDQ989967zbMATHOpenAlexFDO

Authors Boualem Djehiche, Said Hamadène, Ibtissam Hdhiri

Publication date 23 August 2010

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0806.2761

zbMATH Keywords

backward stochastic differential equationsoptimal stopping timestochastic controlSnell envelopestochastic impulse control

Mathematics Subject Classification ID

Impulsive optimal control problems (49N25) Optimal stochastic control (93E20)

Abstract: We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of combined optimal stochastic and impulse control of a fairly general class of diffusions with random coefficients. Unlike, in the Markovian framework, we cannot apply quasi-variational inequalities techniques. We rather derive the main results using techniques involving reflected BSDEs and the Snell envelope.

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Cited in

(13)

• Impulse control of conditional McKean-Vlasov jump diffusions
• Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
• The solution to an impulse control problem motivated by optimal harvesting
• Infinite horizon stochastic impulse control with delay and random coefficients
• Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
• Optimal stochastic impulse control with random coefficients and execution delay
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• Impulsive Control for Continuous-Time Markov Decision Processes
• Swing options valuation: a BSDE with constrained jumps approach
• A general verification result for stochastic impulse control problems
• Risk sensitive impulse control of non-Markovian processes
• Finite Horizon Impulse control of Stochastic Functional Differential Equations
• Non-Markovian impulse control under nonlinear expectation

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