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Finite Horizon Impulse control of Stochastic Functional Differential Equations
Linnaeus University, Faculty of Technology, Department of Physics and Electrical Engineering.
Linnaeus University, Faculty of Technology, Department of Physics and Electrical Engineering.ORCID iD: 0000-0003-3111-4820
2023 (English)In: SIAM Journal of Control and Optimization, ISSN 0363-0129, E-ISSN 1095-7138, Vol. 61, no 2, p. 924-948Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
SIAM Publications , 2023. Vol. 61, no 2, p. 924-948
Keywords [en]
dynamic programming, Snell envelope, stopping times, backward SDEs, stochastic delay equations, impulse control
National Category
Control Engineering
Research subject
Physics, Waves, Signals and Systems
Identifiers
URN: urn:nbn:se:lnu:diva-121995DOI: 10.1137/20M1350303ISI: 000995819400019Scopus ID: 2-s2.0-85159768517OAI: oai:DiVA.org:lnu-121995DiVA, id: diva2:1772216
Funder
Swedish Energy Agency, 42982-1Available from: 2023-06-21 Created: 2023-06-21 Last updated: 2023-08-18Bibliographically approved

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Jönsson, JohanPerninge, Magnus

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