Impulse control problem with switching technology

Abstract

We consider an impulse control problem with switching technology in infinite horizon. We suppose that the firm decides at certain time (impulse time) to switch the technology and the firm value (e.g. a recapitalization). We show that the value function for such problems satisfies a dynamic programming principle. Our objective is to look for an optimal strategy which maximizes the value function.

Keywords:

• impulse control problem
• maximum conditional profit
• dynamic programming principle

2000 Mathematics Subject Classification::

• 39E20
• 49L20