On the Impulse Control of Jump Diffusions

SIAM Journal on Control and Optimization, 51 (3), 2612-2637, 2013

24 Pages Posted: 25 Feb 2014  

Erhan Bayraktar

University of Michigan at Ann Arbor - Department of Mathematics

Thomas Emmerling

Zicklin School of Business, Baruch College - The City University of New York

Jose Menaldi

Wayne State University

Date Written: December 28, 2012

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 in [4]. Here we extend the analysis to include infinite activity and infinite variation jumps. More specifically, we show that the value function of the impulse control problem has a locally Lipschitz continuous first derivative.

Keywords: Impulse Control, PIDE, Regularity

JEL Classification: C61

Suggested Citation

Bayraktar, Erhan and Emmerling, Thomas and Menaldi, Jose, On the Impulse Control of Jump Diffusions (December 28, 2012). SIAM Journal on Control and Optimization, 51 (3), 2612-2637, 2013. Available at SSRN: https://ssrn.com/abstract=2400565

Erhan Bayraktar

University of Michigan at Ann Arbor - Department of Mathematics ( email )

2074 East Hall
530 Church Street
Ann Arbor, MI 48109-1043
United States

Thomas Emmerling (Contact Author)

Zicklin School of Business, Baruch College - The City University of New York ( email )

One Bernard Baruch Way
Box C-403
New York, NY 10010
United States

HOME PAGE: http://zicklin.baruch.cuny.edu/faculty/profiles/thomas-j.-emmerling

Jose Menaldi

Wayne State University ( email )

Detroit, MI 48202
United States

HOME PAGE: http://www.math.wayne.edu/~menaldi/

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