The Finite Horizon impulse control Problem with arbitrary cost functions : the Viscosity Solution Approach
Optimization and Control
2019-01-17 v1 Probability
Abstract
We consider stochastic impulse control problems when the impulses cost functions are arbitrary. We use the dynamic programming principle and viscosity solutions approach to show that the value function is a unique viscosity solution for the associated Hamilton-Jacobi-Bellman equation (HJB) partial differential equation (PDE) of stochastic impulse control problems
Cite
@article{arxiv.1901.05037,
title = {The Finite Horizon impulse control Problem with arbitrary cost functions : the Viscosity Solution Approach},
author = {Brahim El Asri and Sehail Mazid},
journal= {arXiv preprint arXiv:1901.05037},
year = {2019}
}
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