A General Verification Result for Stochastic Impulse Control Problems
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Publication:2968551
DOI10.1137/16M1082822zbMath1358.93186MaRDI QIDQ2968551
Christoph Belak, Sören Christensen, Frank Thomas Seifried
Publication date: 17 March 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Optimal stochastic control (93E20) Diffusion processes (60J60) Probabilistic potential theory (60J45) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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