A new class of impulse stochastic control models with non-negative control quantity
نویسندگان
چکیده
منابع مشابه
Stochastic Impulse Control of Non-Markovian Processes
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 a...
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ژورنال
عنوان ژورنال: Science China Information Sciences
سال: 2011
ISSN: 1674-733X,1869-1919
DOI: 10.1007/s11432-010-4174-7