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arXiv · 2301.01506

Impulse control of conditional McKean-Vlasov jump diffusions

Nacira Agram·Giulia Pucci·Bernt Oksendal
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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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Nacira Agram, Giulia Pucci, Bernt Oksendal. 2023-01-04. Impulse control of conditional McKean-Vlasov jump diffusions. https://arxiv.org/abs/2301.01506

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