论文标题
随机功能微分方程的无限地平线冲动控制
Infinite Horizon Impulse Control of Stochastic Functional Differential Equations
论文作者
论文摘要
我们考虑在系数的额外的$ l^p $ -lipschitz条件下驱动的随机功能微分方程（SFDE）的冲动控制。我们的结果首先是针对无限的地平线冲动控制上的一般随机优化问题而得出的，然后应用于受控SFDE的情况下，适用于无限的地平线以及随机的地平线设置。用于显示最佳控制存在的方法是基于Snell信封的概念的一种概率。
We consider impulse control of stochastic functional differential equations (SFDEs) driven by Lévy processes under an additional $L^p$-Lipschitz condition on the coefficients. Our results, which are first derived for a general stochastic optimization problem over infinite horizon impulse controls and then applied to the case of a controlled SFDE, apply to the infinite horizon as well as the random horizon settings. The methodology employed to show existence of optimal controls is a probabilistic one based on the concept of Snell envelopes.
