Stochastic optimal impulse controls with changing running costs

This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle is used. The corresponding Hamilton-Jacobi-Bellman (HJB) equation (a quasi-variational inequality) was derived, which contains a parameter. The value function is a unique viscosity solution to this HJB equation by a classical argument. Further, inspired by the derivation of the Pontryagin-type maximum principle for stochastic optimal controls with a non-convex control domain, we have established the maximum principle for our stochastic optimal impulse controls, allowing perturbations in optimal impulse moments.