Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
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Publication:734661
DOI10.1016/j.spa.2009.07.004zbMath1180.35164arXiv1101.0172OpenAlexW1969149481MaRDI QIDQ734661
Publication date: 13 October 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1101.0172
Processes with independent increments; Lévy processes (60G51) Integro-partial differential equations (45K05) Optimal stochastic control (93E20) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Integro-partial differential equations (35R09)
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