Impulse Control of Multidimensional Jump Diffusions in Finite Time Horizon
نویسندگان
چکیده
منابع مشابه
Impulse Control of Multidimensional Jump Diffusions in Finite Time Horizon
This paper analyzes a class of impulse control problems for multidimensional jump diffusions in the finite time horizon. Following the basic mathematical setup from Stroock and Varadhan [Multidimensional Diffusion Processes, Springer-Verlag, Heidelberg, 2006], this paper first establishes rigorously an appropriate form of the dynamic programming principle. It then shows that the value function ...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2013
ISSN: 0363-0129,1095-7138
DOI: 10.1137/110854205