Impulse Control of Multidimensional Jump Diffusions in Finite Time Horizon

DOI10.1137/110854205zbMath1275.49062arXiv1111.1440OpenAlexW1971306624MaRDI QIDQ2848602

Yann-Shin Aaron Chen, Xin Guo

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/1111.1440

zbMATH Keywords

viscosity solutionparabolic differential equationstochastic impulse control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Regularity of solutions in optimal control (49N60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25)

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