Physical Sciences and Mathematics Commons^™

On The Impulse Control Of Jump Diffusions, Erhan Bayraktar, Thomas Emmerling, José-Luis Menaldi

Mathematics Faculty Research Publications

Regularity of the impulse control problem for a nondegenerate n-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined in [M. H. A. Davis, X. Guo, and G. Wu, SIAM J. Control Optim., 48 (2010), pp. 5276–5293]. 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 ∈ W_loc^2,p(Rⁿ).

Optimal Control Of Stochastic Integrals And Hamilton-Jacobi-Bellman Equations, Ii, Pierre-Louis Lions, José-Luis Menaldi

Mathematics Faculty Research Publications

We consider the solution of a stochastic integral control problem, and we study its regularity. In particular, we characterize the optimal cost as the maximum solution of ∀v ∈ V, A(v)u ≤ ƒ(v) in D'(Ο), u = 0 on ∂Ο, u ∈ W^1,∞(Ο),

where A(v) is a uniformly elliptic second order operator and V is the set of the values of the control.

Optimal Control Of Stochastic Integrals And Hamilton-Jacobi-Bellman Equations, I, Pierre-Louis Lions, José-Luis Menaldi

Mathematics Faculty Research Publications

We consider the solution of a stochastic integral control problem and we study its regularity. In particular, we characterize the optimal cost as the maximum solution of ∀v ∈ V, A(v)u ≤ ƒ(v) in D'(Ο), u = 0 on ∂Ο, u ∈ W^1,∞(Ο),

where A(v) is a uniformly elliptic second order operator and V is the set of the values of the control.