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arxiv: 0806.2761 · v1 · submitted 2008-06-17 · 🧮 math.PR · math.OC

Stochastic Impulse Control of Non-Markovian Processes

classification 🧮 math.PR math.OC
keywords controlimpulsestochasticgeneralclassexistencefairlymarkovian
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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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