Finite Horizon Impulse control of Stochastic Functional Differential Equations

Published 17 Jun 2020 in math.OC | (2006.09768v2)

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.

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