Impulse Control of Multidimensional Jump Diffusions
Optimization and Control
2009-12-18 v1 Analysis of PDEs
Abstract
This paper studies regularity property of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly `infinite-activity' jumps. Surprisingly, despite these jumps, we obtain the same degree of regularity as for the diffusion case, at least when the jump satisfies certain integrability conditions.
Keywords
Cite
@article{arxiv.0912.3297,
title = {Impulse Control of Multidimensional Jump Diffusions},
author = {Mark H. A. Davis and Xin Guo and Guoliang Wu},
journal= {arXiv preprint arXiv:0912.3297},
year = {2009}
}
Comments
15 pages, 1 figure