Impulse control of multidimensional jump diffusions in finite time horizon

DOI10.1137/110854205MaRDI QIDQ2848602zbMATH OpenOpenAlexFDO

Authors 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

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

Abstract: This paper analyzes a class of impulse control problems for multi-dimensional jump diffusions in the finite time horizon. Following the basic mathematical setup from Stroock and Varadhan cite{StroockVaradhan06}, this paper first establishes rigorously an appropriate form of Dynamic Programming Principle (DPP). It then shows that the value function is a viscosity solution for the associated Hamilton-Jacobi-Belleman (HJB) equation involving integro-differential operators. Finally, under additional assumptions that the jumps are of infinite activity but are of finite variation and that the diffusion is uniformly elliptic, it proves that the value function is the unique viscosity solution and has $W_{loc}^{(2,1),p}$ regularity for $1<p<infty$

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