On the Optimal Impulse Control Problem for Degenerate Diffusions
نویسندگان
چکیده
منابع مشابه
On the Optimal Impulse Control Problem for Degenerate Diffusions
In this paper, we give a characterization of the optimal cost of an impulse control problem as the maximum solution of a quasi-variational inequality without assuming nondegeneracy. An estimate of the velocity of uniform convergence of the sequence of stopping time problems associated with the impulse control problem is given. Introduction. Summary of main results. In this article, we develop t...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 1980
ISSN: 0363-0129,1095-7138
DOI: 10.1137/0318053