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Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
Linnaeus University, Faculty of Technology, Department of Physics and Electrical Engineering. (Waves signals and systems)ORCID iD: 0000-0003-3111-4820
2024 (English)In: Stochastics: An International Journal of Probablitiy and Stochastic Processes, ISSN 1744-2508, E-ISSN 1744-2516, Vol. 96, no 3, p. 1241-1281Article in journal (Refereed) Published
Abstract [en]

We consider impulse control of stochastic functional differential equations (SFDEs) driven by Lévy processes under an additional Lp-Lipschitz condition on the coefficients. Our results, which are first derived for a general stochastic optimization problem over infinite horizon impulse controls and then applied to the case of a controlled SFDE, apply to the infinite horizon as well as the random horizon settings. The methodology employed to show existence of optimal controls is a probabilistic one based on the concept of Snell envelopes.

Place, publisher, year, edition, pages
Taylor & Francis Group, 2024. Vol. 96, no 3, p. 1241-1281
National Category
Probability Theory and Statistics
Research subject
Mathematics, Applied Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-125185DOI: 10.1080/17442508.2023.2262666ISI: 001078314400001Scopus ID: 2-s2.0-85173551056OAI: oai:DiVA.org:lnu-125185DiVA, id: diva2:1805624
Funder
Swedish Energy Agency, 48405-1Available from: 2023-10-17 Created: 2023-10-17 Last updated: 2024-09-03Bibliographically approved

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Perninge, Magnus

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