Research Communication | Open Access
Volume 2019 | Communication ID 144
The finite horizon impulse control problem : the viscosity solution approach.
Sehail Mazid
Academic Editor: Youssef EL FOUTAYENI
Received
Accepted
Published
Jan 29, 2019
Feb 26, 2019
Mar 01, 2019

Abstract: We consider stochastic impulse control problems under rather weak assumptions. We use the dynamic programming principle and viscosity solutions approach to show that the value function is a unique viscosity solution for the associated Hamilton-Jacobi-Bellman equation (HJB) partial differential equation (PDE).










The first International Conference on Research in Applied Mathematics and Computer Science (ICRAMCS 2019)