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Optimal impulse control on an unbounded domain with nonlinear cost functions. (English) Zbl 1145.49021

Summary: In this paper we consider the optimal impulse control of a system which evolves randomly in accordance with a homogeneous diffusion process in \(\mathbb R ^{1}\). Whenever the system is controlled a cost is incurred which has a fixed component and a component which increases with the magnitude of the control applied. In addition to these controlling costs there are holding or carrying costs which are a positive function of the state of the system. Our objective is to minimize the expected discounted value of all costs over an infinite planning horizon. Under general assumptions on the cost functions we show that the value function is a weak solution of a quasi-variational inequality and we deduce from this solution the existence of an optimal impulse policy. The computation of the value function is performed by means of the finite element method on suitable truncated domains, whose convergence is discussed.

MSC:

49N25 Impulsive optimal control problems
49K45 Optimality conditions for problems involving randomness
93E20 Optimal stochastic control
49J40 Variational inequalities
91B28 Finance etc. (MSC2000)
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