IMPULSE CONTROL OF MULTIDIMENSIONAL JUMP DIFFUSIONS

被引：57

作者：

Davis, Mark H. A. ^{[1
]}

Guo, Xin ^{[2
]}

Wu, Guoliang ^{[3
]}

机构：

[1] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2AZ, England

[2] Univ Calif Berkeley, Dept Ind Engn & Operat Res, Berkeley, CA 94720 USA

[3] Univ Calif Berkeley, Dept Math, Berkeley, CA 94720 USA

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2010年 / 48卷 / 08期

基金：

美国国家科学基金会;

关键词：

controlled jump-diffusion; viscosity solution; quasi-variational inequality; regularity; VISCOSITY SOLUTIONS; STOCHASTIC-CONTROL; AMERICAN OPTIONS; SINGULAR CONTROL; FREE-BOUNDARY; SMOOTH FIT; PRINCIPLE; PORTFOLIO; POLICIES; PRICE;

D O I：

10.1137/090780419

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper studies regularity properties 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.

引用

页码：5276 / 5293

页数：18

共 51 条

[1]

[Anonymous], 1979, Controlled Stochastic Processes

[2]

[Anonymous], 2015, Elliptic Partial Differential Equations of Second Order. Classics in Mathematics

[3]

[Anonymous], 1968, LINEAR QUASILINEAR E

[4]

[Anonymous], 1996, 2 ORDER PARABOLIC DI, DOI DOI 10.1142/3302

[5]

[Anonymous], 1984, IMPULSE CONTROL QUAS

[6]

[Anonymous], 1989, STOCHASTIC DIFFERENT, DOI DOI 10.1002/BIMJ.4710320720

[7] Second-order elliptic integro-differential equations: viscosity solutions' theory revisited [J].

Barles, B. ;

Imbert, Cyril .

ANNALES DE L INSTITUT HENRI POINCARE-ANALYSE NON LINEAIRE, 2008, 25 (03) :567-585

[8] ANALYSIS OF THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN OPTIONS FOR JUMP DIFFUSIONS [J].

Bayraktar, Erhan ;

Xing, Hao .

SIAM JOURNAL ON MATHEMATICAL ANALYSIS, 2009, 41 (02) :825-860

[9]

Bielecki T., 2000, FINANC STOCH, V4, P1

[10]

BONY JM, 1967, CR ACAD SCI A MATH, V265, P333

← 1 2 3 4 5 6 →