Optimal impulse control problems for degenerate diffusions with jumps
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.
scientific article; zbMATH DE number 3999817
scientific article