Finite Horizon Impulse control of Stochastic Functional Differential Equations
Optimization and Control
2022-02-09 v2
Abstract
In this work we show that one can solve a finite horizon non-Markovian impulse control problem with control dependant dynamics. This dynamic satisfies certain functional Lipschitz conditions and is path dependent in such a way that the resulting trajectory becomes a flow.
Keywords
Cite
@article{arxiv.2006.09768,
title = {Finite Horizon Impulse control of Stochastic Functional Differential Equations},
author = {Johan Jönsson and Magnus Perninge},
journal= {arXiv preprint arXiv:2006.09768},
year = {2022}
}