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arXiv · 1201.4821

On the Impulse Control of Jump Diffusions

Erhan Bayraktar·Thomas Emmerling·Jose-Luis Menaldi
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Abstract

Regularity of the impulse control problem for a non-degenerate $n$-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined by Davis, Guo, and Wu (SICON 2010). Here we extend the analysis to include infinite activity and infinite variation jumps. More specifically, we show that the value function $u$ of the impulse control problem satisfies $u\in W^{2,p}_{\mathrm{loc}}(\mathbb{R}^{n})$.

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Erhan Bayraktar, Thomas Emmerling, Jose-Luis Menaldi. 2013-04-04. On the Impulse Control of Jump Diffusions. https://arxiv.org/abs/1201.4821

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