  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 apply quasi-variational inequalities techniques. We rather
derive the main results using techniques involving reflected BSDEs and the
Snell envelope.
