Optimal Stochastic Impulse Control with Delayed Reaction
نویسندگان
چکیده
منابع مشابه
Optimal control of stochastic delayed systems with jumps
We consider the optimal control of stochastic delayed systems with jumps, in which both the state and controls can depend on the past history of the system, for a value function which depends on the initial path of the process. We derive the Hamilton-Jacobi-Bellman equation and the associated verification theorem and prove a necessary and a sufficient maximum principles for such problems. Expli...
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ژورنال
عنوان ژورنال: Applied Mathematics and Optimization
سال: 2007
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-007-9034-5