A General Verification Result for Stochastic Impulse Control Problems
SIAM Journal on Control and Optimization, Vol. 55, No. 2, pp. 627-649, 2017
Posted: 3 Jul 2016 Last revised: 2 Sep 2019
Date Written: December 12, 2016
This paper establishes existence of optimal controls for a general stochastic impulse control problem. For this, the value function is characterized as the pointwise minimum of a set of superharmonic functions, as the unique continuous viscosity solution of the quasi-variational inequalities, and as the limit of a sequence of iterated optimal stopping problems. A combination of these characterizations is used to construct optimal controls without relying on any regularity of the value function beyond continuity. Our approach is based on the stochastic Perron method and the assumption that the associated QVIs satisfy a comparison principle.
Keywords: Impulse Control, Stochastic Perron, Superharmonic Functions, Optimal Controls
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