IMPULSE CONTROL OF MULTIDIMENSIONAL JUMP DIFFUSIONS

被引：56
|
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.
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页码：5276 / 5293
页数：18
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