Impulse control of conditional McKean-Vlasov jump diffusions

DOI10.1007/S10957-023-02370-6MaRDI QIDQ6151590zbMATH OpenFDO

Authors N. Agram, Giulia Pucci, B. Øksendal

Publication date 11 March 2024

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2301.01506

zbMATH Keywords

common noiseimpulse controljump diffusion

Mathematics Subject Classification ID

Variational inequalities (49J40) Optimality conditions (49K99) Impulsive optimal control problems (49N25) Markov processes (60J99)

Abstract: This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state equation of the problem with the stochastic Fokker-Planck equation for the conditional probability law of the state. We derive sufficient variational inequalities for a function to be the value function of the impulse control problem, and for an impulse control to be the optimal control. We illustrate our results by applying them to the study of an optimal stream of dividends under transaction costs. We obtain the solution explicitly by finding a function and an associated impulse control which satisfy the verification theorem.

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Cited in

(1)

• Optimal stopping of conditional McKean-Vlasov jump diffusions

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