Optimal impulse control problems for degenerate diffusions with jumps
Copyright policy )Optimal impulse control problems for degenerate diffusions with jumps
This paper presents a unified overview of optimal stopping problems and optimal impulse control with and without delay, for degenerate diffusions with jumps. Lipschitzian coefficients for the diffusion, data with polynomial growth and evolution in the whole space are the main assumptions. The author gives several characterizations of the optimal cost functions, using semi-group formulation and variational formulation. Moreover, the existence of optimal policies is obtained.
- Wayne State University United States
- Wayne State College United States
Stopping times; optimal stopping problems; gambling theory, degenerate diffusions with jumps, optimal policies, Degenerate elliptic equations, semi-group formulation, Variational inequalities, Existence of optimal solutions to problems involving randomness, quasi-variational inequalities, martingale formulation, optimal stopping, Optimal stochastic control, Unilateral problems; variational inequalities (elliptic type), optimal impulse control, Diffusion processes
Stopping times; optimal stopping problems; gambling theory, degenerate diffusions with jumps, optimal policies, Degenerate elliptic equations, semi-group formulation, Variational inequalities, Existence of optimal solutions to problems involving randomness, quasi-variational inequalities, martingale formulation, optimal stopping, Optimal stochastic control, Unilateral problems; variational inequalities (elliptic type), optimal impulse control, Diffusion processes
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