Optimal impulse control problems for degenerate diffusions with jumps
type: Item
instance of: scholarly article
title: Optimal impulse control problems for degenerate diffusions with jumps
zbMATH Open document ID: 0616.93079
DOI: 10.1007/BF00046712
published in: Acta Applicandae Mathematicae
publication date: 1987-01-01T00:00:00Z
review text: This paper presents a unified overview of optimal stopping problems and optimal impulse control with and without delay, for degenerate diffusions with jumps. Lipschitzian coefficients for the diffusion, data with polynomial growth and evolution in the whole space are the main assumptions. The author gives several characterizations of the optimal cost functions, using semi-group formulation and variational formulation. Moreover, the existence of optimal policies is obtained.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 35J70
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 35J85
Mathematics Subject Classification ID: 49J40
Mathematics Subject Classification ID: 49J55
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 3999817
zbMATH Keywords: quasi-variational inequalities
zbMATH Keywords: martingale formulation
zbMATH Keywords: optimal stopping
zbMATH Keywords: optimal impulse control
zbMATH Keywords: degenerate diffusions with jumps
zbMATH Keywords: semi-group formulation
zbMATH Keywords: optimal policies
author: José-Luis Menaldi
reviewed by: Makiko Nisio
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 3999817