Stochastic Impulse Control of Non-Markovian Processes

被引:0
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作者
Boualem Djehiche
Said Hamadène
Ibtissam Hdhiri
机构
[1] The Royal Institute of Technology,Department of Mathematics
[2] Université du Maine,Département de Mathématiques, Equipe Statistique et Processus
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关键词
Stochastic impulse control; Snell envelope; Stochastic control; Backward stochastic differential equations; Optimal stopping time;
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摘要
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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