Stochastic Impulse Control with Regime-Switching Dynamics

Download or read book Stochastic Impulse Control with Regime-Switching Dynamics written by Ralf Korn and published by . This book was released on 2017 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimal product management problems with multiple product generations in continuous time lead to the consideration of dynamic optimal control problems that feature both intervention costs and partially controlled regime shifts. We therefore investigate and solve such stochastic impulse control problems with regime-switching in a general setting. We analyze the associated coupled systems of quasi-variational inequalities in suitable Sobolev spaces, and we establish a direct approach to construct both the value function and optimal strategies. Our results in particular yield a numerical method for the computation of the optimal value function and the associated strategies.