FINITE HORIZON IMPULSE CONTROL OF STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS*

被引：3

作者：

Jonsson, Johan ^{[1
]}

Perninge, Magnus ^{[1
]}

机构：

[1] Linnaeus Univ, Dept Phys & Elect Engn, Vaxjo, Sweden

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2023年 / 61卷 / 02期

关键词：

dynamic programming; Snell envelope; stopping times; backward SDEs; stochastic delay equations; impulse control;

D O I：

10.1137/20M1350303

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this work we show that one can solve a finite horizon non-Markovian impulse control problem with control dependent dynamics. This dynamic satisfies certain functional Lipschitz conditions and is path dependent in such a way that the resulting trajectory becomes a flow.

引用

页码：924 / 948

页数：25