Optimal implementation of environmental improvement policy with implementation costs
environmental improvement policygeometric Brownian motionimpulse controlquasi-variational inequalities
Control problems involving ordinary differential equations (34H05) Qualitative investigation and simulation of models involving functional-differential equations (34K60) Impulsive optimal control problems (49N25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Optimal stochastic control (93E20)
The author studies, for a geometric Brownian motion, the impulsive control problem NEWLINE\[NEWLINE\begin{aligned} dX_{t} & = \mu X_{t}dt+\sigma X_{t}dw_{t},\quad \tau _{i}\leq t<\tau _{i+1}, \quad i\geq 0,\\ X_{\tau _{i}} &= X_{\tau _{i}^{-}}-\zeta _{i}, \\ X_{0} &= x>0, \end{aligned}NEWLINE\]NEWLINE with \(\mu >0\), \(\sigma >0\), \(w_{t}\) a standard Wiener process, \({\mathcal{F}}_{t}\), \(t\geq 0\), the \(\sigma\)-algebras generated by its past, \(\tau_{0}=0\) and \(\tau_{i}\) the control implementation times (assumed to be \({\mathcal{F}}_{t}\) stopping times, \(0<\tau_{i}\leq \tau_{i+1}\), \(\tau_{i}\rightarrow+\infty\) as \(i\rightarrow+\infty\) a.s.), and \(\zeta_{i}\) control magnitudes (assumed \({\mathcal{F}}_{\tau_{i}}\) measurable). This is a problem related to pollution control, where \(X_{t}\) denotes the pollutant level and \(\zeta_{i}\) its reduction by some environmental improvement action at time \(\tau_{i}\).NEWLINENEWLINENEWLINEThe author assumes that the cost of pollution damage is given by \(D(x)=ax^{2}\) and the cost of improvement is given by \(K(\zeta)=c+b\zeta\), \(a,b,c>0\). The author solves the problem of minimizing the cost function \({\mathbf {E}}\left[ \int_{0}^{+\infty }e^{-rt}D(X_{t})dt+\sum_{r=1}^{+\infty }e^{-r\tau _{i}}K(\zeta _{i})\right] \), where \(r>0\) is the discount rate.
- An impulse control of a geometric Brownian motion with quadratic costs
- On a strategic model of pollution control
- scientific article; zbMATH DE number 3852755
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- Dynamic multiple‐objective optimization of environmental regulation policies
- Stochastic impulse control of nonsmooth dynamics with partial observation and execution delay: application to an environmental restoration problem
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