On the Impulse Control of Jump Diffusions
SIAM Journal on Control and Optimization, 51 (3), 2612-2637, 2013
24 Pages Posted: 25 Feb 2014
Date Written: December 28, 2012
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 . 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: Suggested Citation