Impulse control of multidimensional jump diffusions in finite time horizon (Q2848602)
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scientific article; zbMATH DE number 6212063
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Impulse control of multidimensional jump diffusions in finite time horizon |
scientific article; zbMATH DE number 6212063 |
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26 September 2013
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stochastic impulse control
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viscosity solution
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parabolic differential equation
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Impulse control of multidimensional jump diffusions in finite time horizon (English)
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The paper deals with the finite time horizon impulse control problems for \(n\)-dimensional diffusion processes defined by a stochastic differential equation with jumps. The main difficulty in this kind of problems comes from the associated nonlocal operator, which is much more difficult to analyze by using the standard PDE tools. Here, it is shown that the value function is a viscosity solution which is very useful for the HJB equation, and one proves the regularity of the unique viscosity solution.
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