On the Impulse Control of Jump Diffusions

Regularity of the impulse control problem for a non-degenerate n-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined in [4]. Here we extend the analysis to include infinite activity and infinite variation jumps. More specifically, we show that the value function of the impulse control problem has a locally Lipschitz continuous first derivative

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Year of publication:	2014
Authors:	Bayraktar, Erhan
Other Persons:	Emmerling, Thomas (contributor) ; Menaldi, Jose (contributor)
Publisher:	[2014]: [S.l.] : SSRN

Extent:	1 Online-Ressource (24 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: SIAM Journal on Control and Optimization, 51 (3), 2612-2637, 2013 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 28, 2012 erstellt
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013058213