On the Impulse Control of Jump Diffusions

Details On the Impulse Control of Jump Diffusions On the Impulse Control of Jump Diffusions

2012-01-23

arxiv.org/abs/1201.4821v2

Mathematics

Probability

Scientific paper

Regularity of the impulse control problem for a non-degenerate $n$-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined by Davis, Guo, and Wu (SICON 2010). Here we extend the analysis to include infinite activity and infinite variation jumps. More specifically, we show that the value function $u$ of the impulse control problem satisfies $u\in W^{2,p}_{\mathrm{loc}}(\mathbb{R}^{n})$.

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