Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
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Publication:3557937
DOI10.1137/080716001zbMath1194.49016OpenAlexW2158969568MaRDI QIDQ3557937
Publication date: 28 April 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/080716001
viscosity solutioncontrolled diffusionsmooth fitquasi-variational inequalitystochastic impulse control
Variational inequalities (49J40) Regularity of solutions in optimal control (49N60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25) Existence of optimal solutions to problems involving randomness (49J55)
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