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