Viscosity solutions associated with impulse control problems for piecewise-deterministic processes

DOI10.1155/S0161171289000207zbMath0664.45007OpenAlexW1989510249WikidataQ60231297 ScholiaQ60231297MaRDI QIDQ1114891

Suzanne M. Lenhart

Publication date: 1989

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/46349

zbMATH Keywords

integro-differential equationsviscosity solutionsimpulse control problempiecewise-deterministic processes

Mathematics Subject Classification ID

Integro-partial differential equations (45K05)

Related Items (12)

Stochastic impulse control problem with state and time dependent cost functions ⋮ Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach ⋮ A BSDE approach to stochastic differential games involving impulse controls and HJBI equation ⋮ Continuity of the value function for deterministic optimal impulse control with terminal state constraint ⋮ Numerical method for impulse control of piecewise deterministic Markov processes ⋮ Change-point detection for piecewise deterministic Markov processes ⋮ Optimality conditions for impulsive control of piecewise-deterministic processes ⋮ Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility ⋮ Optimal strategies for impulse control of piecewise deterministic Markov processes ⋮ Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions ⋮ A Finite Horizon Optimal Stochastic Impulse Control Problem with A Decision Lag ⋮ Zero-sum differential games involving impulse controls

This page was built for publication: Viscosity solutions associated with impulse control problems for piecewise-deterministic processes