Stochastic Impulse Control of Non-Markovian Processes

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dc.creatorDjehiche, Boualem
dc.creatorHamadene, Said
dc.creatorHdhiri, Ibtissam
dc.date2008-06-17
dc.date.accessioned2026-07-07T09:45:03Z
dc.date.available2026-07-07T09:45:03Z
dc.descriptionWe 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.
dc.identifierhttps://arxiv.org/abs/0806.2761
dc.identifierhttp://arxiv.org/abs/0806.2761
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/163078
dc.subjectProbability
dc.subjectOptimization and Control
dc.subject60G40; 60H10; 62L15; 93E20
dc.titleStochastic Impulse Control of Non-Markovian Processes
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