scientific article; zbMATH DE number 2064421
The paper is devoted to stochastic optimal control problems. The control parameters are \((\xi,\tau)\), where \(\xi\) is a right-continuous process of bounded variation and \(\tau\) a stopping time. With \(\widehat\xi= \xi^++\xi^-\) based on the representation \(\xi= \xi^+-\xi^-\), both \(\xi^+\), \(\xi^-\) being increasing, the cost function is taken to be of the form \[ J_x(\xi,\tau)= {\mathbf E}\Biggl\{\int^\tau_0 e^{-\alpha t}[g(x_t)\,dt+ d\widehat\xi_t]+ e^{-\alpha\tau} h(x_\tau)\Biggr\}. \] Here the state process is \(x_t= x+ W_t+ \xi_t\), \(t\geq 0\), with a constant initial position \(x_0= x\), \(W_t\), \(t\geq 0\), is a standard Brownian motion, \(g\), \(h\) are given positive functions and \(\alpha> 0\), \(\lambda> 0\) are fixed parameters. The authors describe the optimal control \((\xi^*,\tau^*)\), that is, a pair consisting of a process \(\xi^*\) and a stopping time \(\tau^*\) such that \[ J_x(\xi^*, \tau^*)= \inf_{\xi,\tau}\, J_x(\xi, \tau). \] Variational inequalities techniques and stochastic analysis are used as main tools when proving the existence of an optimal control and determining the optimal strategy.
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