Impulse control of multidimensional jump diffusions in finite time horizon

DOI10.1137/110854205MaRDI QIDQ2848602zbMATH OpenOpenAlexFDO

Authors Yann-Shin Aaron Chen, Xin Guo

Publication date 26 September 2013

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.1440

zbMATH Keywords

parabolic differential equationstochastic impulse controlviscosity solution

Mathematics Subject Classification ID

Existence theories for optimal control problems involving partial differential equations (49J20) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25) Regularity of solutions in optimal control (49N60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

Abstract: This paper analyzes a class of impulse control problems for multi-dimensional jump diffusions in the finite time horizon. Following the basic mathematical setup from Stroock and Varadhan cite{StroockVaradhan06}, this paper first establishes rigorously an appropriate form of Dynamic Programming Principle (DPP). It then shows that the value function is a viscosity solution for the associated Hamilton-Jacobi-Belleman (HJB) equation involving integro-differential operators. Finally, under additional assumptions that the jumps are of infinite activity but are of finite variation and that the diffusion is uniformly elliptic, it proves that the value function is the unique viscosity solution and has $W_{loc}^{(2,1),p}$ regularity for $1<p<infty$

Review text

The paper deals with the finite time horizon impulse control problems for \(n\)-dimensional diffusion processes defined by a stochastic differential equation with jumps. The main difficulty in this kind of problems comes from the associated nonlocal operator, which is much more difficult to analyze by using the standard PDE tools. Here, it is shown that the value function is a viscosity solution which is very useful for the HJB equation, and one proves the regularity of the unique viscosity solution.

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