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arXiv · 1901.05037

The Finite Horizon impulse control Problem with arbitrary cost functions : the Viscosity Solution Approach

Brahim El Asri·Sehail Mazid
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Abstract

We consider stochastic impulse control problems when the impulses cost functions are arbitrary. 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) of stochastic impulse control problems

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Brahim El Asri, Sehail Mazid. 2019-01-15. The Finite Horizon impulse control Problem with arbitrary cost functions : the Viscosity Solution Approach. https://arxiv.org/abs/1901.05037

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