The Finite Horizon impulse control Problem with arbitrary cost functions : the Viscosity Solution Approach

Autor:	Asri, Brahim El, Mazid, Sehail
Rok vydání:	2019
Předmět:	Mathematics - Optimization and Control Mathematics - Probability 93E20. 35Q93. 35D40
Druh dokumentu:	Working Paper
Popis:	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 Comment: 23 paes
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1901.05037 Zobrazit plný text záznamu View this record from Arxiv