Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes

DOI10.1137/080716001zbMath1194.49016OpenAlexW2158969568MaRDI QIDQ3557937

Xin Guo, Guoliang Wu

Publication date: 28 April 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080716001

zbMATH Keywords

viscosity solutioncontrolled diffusionsmooth fitquasi-variational inequalitystochastic impulse control

Mathematics Subject Classification ID

Variational inequalities (49J40) Regularity of solutions in optimal control (49N60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25) Existence of optimal solutions to problems involving randomness (49J55)

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