Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4624055 | Journal of Mathematical Analysis and Applications | 2006 | 25 Pages |
Abstract
We study here the impulse control problem in infinite as well as finite horizon. We allow the cost functionals and dynamics to be unbounded and hence the value function can possibly be unbounded. We prove that the value function is the unique viscosity solution in a suitable subclass of continuous functions, of the associated quasivariational inequality. Our uniqueness proof for the infinite horizon problem uses stopping time problem and for the finite horizon problem, comparison method. However, we assume proper growth conditions on the cost functionals and the dynamics.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis