Minimax Impulse Control Problems in Finite Horizon
Optimization and Control
2013-05-07 v1
Abstract
We consider the problem of impulse control minimax in finite horizon, when cost functions . We show existence of value function of the problem. Moreover, the value function is characterized as the unique viscosity solution of an Isaacs quasi-variational inequality. This problem is in relation with an application in mathematical finance.
Cite
@article{arxiv.1305.0914,
title = {Minimax Impulse Control Problems in Finite Horizon},
author = {Brahim El Asri},
journal= {arXiv preprint arXiv:1305.0914},
year = {2013}
}
Comments
22 pages. arXiv admin note: substantial text overlap with arXiv:1003.3409