Impulse Control of Multidimensional Jump Diffusions

Details Impulse Control of Multidimensional Jump Diffusions Impulse Control of Multidimensional Jump Diffusions

2009-12-17

arxiv.org/abs/0912.3297v1

Mathematics

Optimization and Control

15 pages, 1 figure

Scientific paper

This paper studies regularity property of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly `infinite-activity' jumps. Surprisingly, despite these jumps, we obtain the same degree of regularity as for the diffusion case, at least when the jump satisfies certain integrability conditions.

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