Impulse Control of Multi-dimensional Jump Diffusions in Finite Time Horizon

Details Impulse Control of Multi-dimensional Jump Diffusions in Finite Time Horizon Impulse Control of Multi-dimensional Jump Diffusions in Finite Time Horizon

2011-11-06

arxiv.org/abs/1111.1440v1

Mathematics

Optimization and Control

25 pages

Scientific paper

This paper analyzes a class of impulse control problems for multi-dimensional jump diffusions in a finite time horizon. Following the basic mathematical setup from Stroock and Varadhan \cite{StroockVaradhan06}, this paper first establishes rigorously an appropriate form of Dynamic Programming Principle (DPP). It then shows that the value function is a viscosity solution for the associated Hamilton-Jacobi-Belleman (HJB) equation involving integro-differential operators. Finally, it proves the $W_{loc}^{(2,1),p}$ regularity for $2\le p< \infty$ and the uniqueness of the viscosity solution.

Affiliated with

Also associated with

No associations

Rating

Impulse Control of Multi-dimensional Jump Diffusions in Finite Time Horizon 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 Impulse Control of Multi-dimensional Jump Diffusions in Finite Time Horizon, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Impulse Control of Multi-dimensional Jump Diffusions in Finite Time Horizon will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-704804