On the impulse control of jump diffusions

DOI10.1137/120863836MaRDI QIDQ2848600zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Thomas Emmerling, José-Luis Menaldi

Publication date 26 September 2013

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

Full work available at URL https://arxiv.org/abs/1201.4821

zbMATH Keywords

controlled jump-diffusiondistributional solutionimpulse control problemquasi-variational inequalityregularity

Mathematics Subject Classification ID

Variational inequalities (49J40) Impulsive optimal control problems (49N25) Regularity of solutions in optimal control (49N60) Optimal stochastic control (93E20)

Abstract: 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 $uin{W}_{mathrmloc}^{2,p}(mathbb{R}^n)$.

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