On the impulse control of jump diffusions

DOI10.1137/120863836zbMATH Open1272.49073arXiv1201.4821OpenAlexW2074526884MaRDI QIDQ2848600FDOQ2848600

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)

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

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

Recommendations

• Impulse control of multidimensional jump diffusions
• Impulse control of multidimensional jump diffusions in finite time horizon
• Optimal impulse control problems for degenerate diffusions with jumps
• scientific article; zbMATH DE number 1254182
• Applied stochastic control of jump diffusions
• Applied stochastic control of jump diffusions
• On the Optimal Stochastic Impulse Control of Linear Diffusions
• Control improvement for jump-diffusion processes with applications to finance
• Impulse control of one-dimensional ito diffusions with an expected and a pathwise ergodic criterion
• Optimal control of jump-diffusion processes with random parameters

zbMATH Keywords

regularityquasi-variational inequalityimpulse control problemdistributional solutioncontrolled jump-diffusion

Mathematics Subject Classification ID

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

Cited In (25)

• Title not available (Why is that?)
• Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
• Optimal cash management problem for compound Poisson processes with two-sided jumps
• Applied stochastic control of jump diffusions
• Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
• Impulse control of multidimensional jump diffusions
• A measure approach for continuous inventory models: discounted cost criterion
• A general verification result for stochastic impulse control problems
• Asymptotics of impulse control problem with multiplicative reward
• Value function regularity in option pricing problems under a pure jump model
• Impulse control of a diffusion with a change point
• Zero-sum stochastic differential game in finite horizon involving impulse controls
• Nonzero-sum stochastic games and mean-field games with impulse controls
• On an approximation of average cost per unit time impulse control of Markov processes
• A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
• Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
• Impulse control of multidimensional jump diffusions in finite time horizon
• Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
• Title not available (Why is that?)
• Growth in an impulsive integral inequality
• Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels
• The viability property of controlled jump diffusion processes
• Hybrid optimal impulse control
• Robust classical-impulse stochastic control problems in an infinite horizon
• Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities

This page was built for publication: On the impulse control of jump diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2848600)