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On the Impulse Control of Jump Diffusions by Bayraktar, Erhan; Emmerling, Thomas; Menaldi, Jose-Luis is a scholarly article available to read on EtoBox.

What is On the Impulse Control of Jump Diffusions about?

Regularity of the impulse control problem for a non-degenerate $n$-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined by Davis, Guo, and Wu (SICON 2010). 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 $u\in W^{2,p}_{\mathrm{loc}}(\mathbb{R}^{n})$.

Author

Bayraktar, Erhan; Emmerling, Thomas; Menaldi, Jose-Luis

Published

2012

Language

EN