A Finite Horizon Optimal Switching Problem with Memory and Application\n to Controlled SDDEs

2019/05/22 by Magnus Perninge, Perninge, Magnus · 1 citation
Economics, Econometrics and Finance · Engineering · #49L20 #60G40 #62P30 #93E20 #Electric Power System Optimization #FOS: Mathematics #Optimization and Control (math.OC) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1905.09473

openalex publication_date 2019/05/22 · openalex created_date 2022/07/29 · openalex updated_date 2026/07/28

Abstract

We consider an optimal switching problem where the terminal reward depends on\nthe entire control trajectory. We show existence of an optimal control by\napplying a probabilistic technique based on the concept of Snell envelopes. We\nthen apply this result to solve an impulse control problem for stochastic delay\ndifferential equations driven by a Brownian motion and an independent compound\nPoisson process. Furthermore, we show that the studied problem arises naturally\nwhen maximizing the revenue from operation of a group of hydro-power plants\nwith hydrological coupling.\n

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