The Fully Nonlinear Stochastic Impulse Control Problem
Analysis of PDEs
2017-02-02 v2
Abstract
In this paper, motivated by a problem in stochastic impulse control theory, we aim to study solutions to a free boundary problem of obstacle-type. We obtain sharp estimates for the solution using nonlinear tools which are independent of the modulus of semi-convexity of the obstacle. This allows us to state a general estimate for solutions to free boundary problems of obstacle-type admitting obstacles with a general modulus of semi-convexity. As an application we prove sharp estimates for the solution to a fully nonlinear stochastic impulse control problem.
Cite
@article{arxiv.1510.06394,
title = {The Fully Nonlinear Stochastic Impulse Control Problem},
author = {Rohit Jain},
journal= {arXiv preprint arXiv:1510.06394},
year = {2017}
}
Comments
Added: An application to a penalized problem obtained in the authors PhD thesis