Quasi-Variational Inequalities with Dirichlet Boundary Condition Related to Exit Time Problems for Impulse Control

DOI10.1137/S0363012902409738zbMath1101.93079OpenAlexW2000292944MaRDI QIDQ4652549

Anna Lisa Amadori

Publication date: 28 February 2005

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

Full work available at URL: https://doi.org/10.1137/s0363012902409738

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlboundary conditionquasi-variational inequality

Mathematics Subject Classification ID

Variational inequalities (49J40) Optimal stochastic control (93E20) Nonlinear higher-order PDEs (35G20) Impulsive optimal control problems (49N25)

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Uniqueness for integro-PDE in Hilbert spaces ⋮ A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) ⋮ Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals

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