Viscosity solutions associated with impulse control problems for piecewise-deterministic processes
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Existence and uniqueness results for viscosity solutions of integro- differential equations associated with the impulse control problem for piecewise-deterministic processes on bounded domains and on \(R_ n\) are illustrated.
Cited in
(13)- Optimality conditions for impulsive control of piecewise-deterministic processes
- Zero-sum differential games involving impulse controls
- Change-point detection for piecewise deterministic Markov processes
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
- A BSDE approach to stochastic differential games involving impulse controls and HJBI equation
- Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
- Numerical method for impulse control of piecewise deterministic Markov processes
- Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
- Continuity of the value function for deterministic optimal impulse control with terminal state constraint
- Optimal strategies for impulse control of piecewise deterministic Markov processes
- A finite horizon optimal stochastic impulse control problem with a decision lag
- Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
- Stochastic impulse control problem with state and time dependent cost functions
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