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.

引用

页码：594 / 617

页数：24

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