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The generalization of a class of impulse stochastic control models of a geometric Brownian motion

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Abstract

Recently, international academic circles advanced a class of new stochastic control models of a geometric Brownian motion which is an important kind of impulse control models whose cost structure is different from the others before, and it has a broad applying background and important theoretical significance in financial control and management of investment. This paper generalizes substantially the above stochastic control models under quite extensive conditions and describes the models more exactly under more normal theoretical system of stochastic process. By establishing a set of proper variational equations and proving the existence of its solution, and applying the means of stochastic analysis, this paper proves that the generalized stochastic control models have optimal controls. Meanwhile, we also analyze the structure of optimal controls carefully. Besides, we study the solution function of variational equations in a relatively deep-going way, which constitutes the value function of control models to some extent. Because the analysis methods of this paper are greatly different from those of original reference, this paper possesses considerable originality to some extent. In addition, this paper gives the strict proof to the part of original reference which is not fairly well-knit in analyses, and makes analyses and discussions of the model have the exactitude of mathematical sense.

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Authors and Affiliations

  1. College of Science, Beijing Jiaotong University, Beijing, 100044, China

    XiaoPeng Liu & KunHui Liu

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  1. XiaoPeng Liu
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  2. KunHui Liu
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Supported by the National Natural Science Foundation of China (Grant No. 19671004)

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Liu, X., Liu, K. The generalization of a class of impulse stochastic control models of a geometric Brownian motion. Sci. China Ser. F-Inf. Sci. 52, 983–998 (2009). https://doi.org/10.1007/s11432-009-0099-4

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  • DOI: https://doi.org/10.1007/s11432-009-0099-4

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