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paper deals with the optimal impulse control of a process described by \\(Y(t)=x+W_ t+\\sum^ \\infty_{n=1} \\xi_ nI_{\\{\\tau_ n<t\\}}\\) with respect to the cost function \\[ J_ x(\\nu)=E \\left\\{ \\int^ T_ 0e^{-\\alpha t}f \\bigl( Y(t) \\bigr) dt+\\sum^ \\infty_{n=1}e^{- \\alpha \\tau_ n}B( \\xi_ n) \\right\\} \\] where \\(\\nu = \\bigl( (\\tau_ n, \\xi_ n),n \\geq 1\\bigr) \\in V\\) is an impulse control, \\(\\xi_ n\\) a \\({\\mathcal F}_{\\tau_ n}\\)-measurable random variable corresponding to time- instant \\(\\tau_ n\\), \\(x\\) the initial state, \\(W_ t\\) a standard Wiener process. Moreover, \\(\\alpha>0\\), \\(f(y)\\) is a continuous and differentiable nonnegative even function, \\(f''(y)>0\\) is continuous, nonincreasing and bounded within \\([0,\\infty)\\), \\(B(\\xi)\\) is a strictly positive even function of \\(\\xi\\). \\(B'(\\xi)\\) is continuous and nonnegative for \\(\\xi>0\\), \\(\\lim_{\\xi \\to 0} B'(\\xi) =B_ +'(0)<\\infty\\). The paper gives a succinct structure of the optimal cost function as follows. For arbitrary initial state \\(x \\in R\\) \\(J_ x(\\nu) \\geq w(x)\\), \\(\\forall \\nu \\in V\\) where \\(w(x)\\) is a positive continuous differentiable even function satisfying \\(w(x)=u(x)\\), \\(| x | \\leq c\\); \\(w(x)=u(c)\\), \\(| x |>c\\) \\(w(x) \\leq w(x+\\xi)+B(\\xi)\\), \\(\\forall x\\), \\(\\xi \\in R\\) and for \\(0 \\leq a<b \\leq c\\), \\(d>0\\) \\[ u(x)\\widehat =E\\int^ \\infty_ 0e^{-\\alpha t} f(x+W_ t)dt- d(e^{\\sqrt{2\\alpha}x} +e^{-\\sqrt{2\\alpha}x}),\\;\\forall x \\in R \\] satisfying \\(u'(0)=u'(c)=0\\); \\(u'(x)>0\\), \\(0<x<c\\) and \\[ \\int^ b_ au'(x)dx-B(b-a)=\\sup_{0 \\leq a'<b' \\leq c}\\left\\{ \\int^{b'}_{a'}u'(x)dx-B(b'-a)\\right\\}=0. \\] Moreover, \\(w''(x)\\) is continuous for all \\(x\\) (except \\(x=\\pm c)\\), and \\(\\alpha w(x)-w''(x) /2 = f(x)\\) \\(w(b)=w(a)+B(a-b)\\), \\(w(-b)=w(-a)+B(b-a)\\) \\(\\alpha w(x)-\\bigl( w_ +''(x)-w_ -''(x)\\bigr) /4 \\leq f(x)\\), \\(\\forall x \\in R\\). If \\(| x | \\leq b\\), then the above defined control \\(\\nu\\) becomes an optimal control \\(\\hat \\nu\\), and \\(J_ x(\\hat \\nu)=\\inf_{\\nu \\in V}J_ x(\\nu)=w(x)\\).","type":"string"},"datatype":"string"},"type":"statement","id":"Q4030581$A8D67FD3-1861-4AA5-88F9-835AFE9B79DD","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:4030581","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:4030581"}}}}}