کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156116 958802 2009 30 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
چکیده انگلیسی

General theorems for existence and uniqueness of viscosity solutions for Hamilton–Jacobi–Bellman quasi-variational inequalities (HJBQVI) with integral term are established. Such nonlinear partial integro-differential equations (PIDE) arise in the study of combined impulse and stochastic control for jump-diffusion processes. The HJBQVI consists of an HJB part (for stochastic control) combined with a nonlocal impulse intervention term.Existence results are proved via stochastic means, whereas our uniqueness (comparison) results adapt techniques from viscosity solution theory. This paper, to our knowledge is the first treating rigorously impulse control for jump-diffusion processes in a general viscosity solution framework; the jump part may have infinite activity. In the proofs, no prior continuity of the value function is assumed, quadratic costs are allowed, and elliptic and parabolic results are presented for solutions possibly unbounded at infinity.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 10, October 2009, Pages 3719–3748
نویسندگان
,