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 J. Emmerling

CUNY Baruch College

Jose Luis 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 J. and Menaldi, Jose Luis, 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 J. Emmerling (Contact Author)

CUNY Baruch College ( 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 Luis Menaldi

Wayne State University ( email )

Detroit, MI 48202
United States

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

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