SMOOTH FIT PRINCIPLE FOR IMPULSE CONTROL OF MULTIDIMENSIONAL DIFFUSION PROCESSES

被引：34
作者：
Guo, Xin [1 ]
Wu, Guoliang [2 ]
机构：
[1] Univ Calif Berkeley, Dept Ind Engn & Operat Res, Berkeley, CA 94720 USA
[2] Univ Calif Berkeley, Dept Math, Berkeley, CA 94720 USA
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2009年 / 48卷 / 02期
关键词：
stochastic impulse control; viscosity solution; quasi-variational inequality; smooth fit; controlled diffusion; VISCOSITY SOLUTIONS; STOCHASTIC-CONTROL; SINGULAR CONTROL; INTERVENTION; OPTIMIZATION; INVENTORY; POLICIES;
D O I：
10.1137/080716001
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Value functions of impulse control problems are known to satisfy quasi-variational inequalities (QVIs) [A. Bensoussan and J.-L. Lions, Impulse Control and Quasivariational Inequalities, Heyden & Son, Philadelphia, 1984; translation of Controle Impulsionnel et Inequations Quasi Variationnelles, Gauthier-Villars, Paris, 1982]. This paper proves the smooth-fit C-1 property of the value function for multidimensional controlled diffusions, using a viscosity solution approach. We show by examples how to exploit this regularity property to derive explicitly optimal policy and value functions.
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页码：594 / 617
页数：24
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