Deterministic Minimax Impulse Control in Finite Horizon: the Viscosity Solution Approach

Mathematics – Optimization and Control

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Scientific paper

We study here the impulse control minimax problem. We allow the cost functionals and dynamics to be unbounded and hence the value functions can possibly be unbounded. We prove that the value function of the problem is continuous. Moreover, the value function is characterized as the unique viscosity solution of an Isaacs quasi-variational inequality. This problem is in relation with an application in mathematical finance.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Deterministic Minimax Impulse Control in Finite Horizon: the Viscosity Solution Approach does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Deterministic Minimax Impulse Control in Finite Horizon: the Viscosity Solution Approach, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Deterministic Minimax Impulse Control in Finite Horizon: the Viscosity Solution Approach will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-234388

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.