A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions

DOI10.1137/060669905MaRDI QIDQ3629486zbMATHOpenAlexFDO

Authors Masahiko Egami

Publication date 27 May 2009

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

Full work available at URL https://arxiv.org/abs/math/0703179

zbMATH Keywords

concavityoptimal stoppingdiffusionsstochastic impulse control

Mathematics Subject Classification ID

Impulsive optimal control problems (49N25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Abstract: We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space. Our approach can relieve us from the burden of guessing and proving the optimal strategy, (2) present a simple method to find the value function and the corresponding control policies, and (3) handle systematically a broader class of reward and cost functions since the existence of the value function can be shown in much a simpler way.

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