On the Impulse Control of Jump Diffusions

On the Impulse Control of Jump Diffusions

Regularity of the impulse control problem for a nondegenerate $n$-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined in [M. H. A. Davis, X. Guo, and G. Wu, SIAM J. Control Optim., 48 (2010), pp. 5276--5293]. Here we extend the analysis to include infin...

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Bibliographic Details
Published in:SIAM journal on control and optimization 2013-01, Vol.51 (3), p.2612-2637
Main Authors: Bayraktar, Erhan, Emmerling, Thomas, Menaldi, Jose-Luis
Format: Article
Language:eng
Subjects:
Applied mathematics
Diffusion
Impulses
Mathematical analysis
Optimization
Regularity
Online Access:Get full text
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Summary:Regularity of the impulse control problem for a nondegenerate $n$-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined in [M. H. A. Davis, X. Guo, and G. Wu, SIAM J. Control Optim., 48 (2010), pp. 5276--5293]. Here we extend the analysis to include infinite activity and infinite variation jumps. More specifically, we show that the value function $u$ of the impulse control problem satisfies $u\in W^{2,p}_{\mathrm{loc}}(\mathbb{R}^{n})$. [PUBLICATION ABSTRACT]
ISSN:0363-0129
1095-7138