scientific article; zbMATH DE number 147672
The 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 \(0 \leq a0\) \[ u(x)\widehat =E\int^ \infty_ 0e^{-\alpha t} f(x+W_ t)dt- d(e^{\sqrt{2\alpha}x} +e^{-\sqrt{2\alpha}x}),\;\forall x \in R \] 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 \(J_ x(\hat \nu)=\inf_{\nu \in V}J_ x(\nu)=w(x)\).
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