Stochastic Optimal Impulse Controls with Changing Running Costs
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arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866908640207699968 |
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| author | Cao, Yuchen Yong, Jiongmin |
| author_facet | Cao, Yuchen Yong, Jiongmin |
| contents | This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle is to be used. The corresponding Hamilton-Jacobi-Bellman (HJB) equation (a quasi-variational inequality) is derived, which contains a parameter. The value function is a unique viscosity solution to this HJB equation by a classical argument. Further, inspired by the derivation of the Pontryagin type maximum principle for stochastic optimal controls with a non-convex control domain, we have established the maximum principle for our stochastic optimal impulse controls, allowing perturbations in optimal impulse moments. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_06628 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Stochastic Optimal Impulse Controls with Changing Running Costs Cao, Yuchen Yong, Jiongmin Optimization and Control 93E20, 93C27, 49L25, 49N25 This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle is to be used. The corresponding Hamilton-Jacobi-Bellman (HJB) equation (a quasi-variational inequality) is derived, which contains a parameter. The value function is a unique viscosity solution to this HJB equation by a classical argument. Further, inspired by the derivation of the Pontryagin type maximum principle for stochastic optimal controls with a non-convex control domain, we have established the maximum principle for our stochastic optimal impulse controls, allowing perturbations in optimal impulse moments. |
| title | Stochastic Optimal Impulse Controls with Changing Running Costs |
| topic | Optimization and Control 93E20, 93C27, 49L25, 49N25 |
| url | https://arxiv.org/abs/2511.06628 |