FINITE HORIZON IMPULSE CONTROL OF STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS*

被引：2
|
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.
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页码：924 / 948
页数：25
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