On the Impulse Control of Jump Diffusions

2012/01/23 by Erhan Bayraktar, Bayraktar, Erhan, Thomas Emmerling +3 · 2 citations
Computer Science · Engineering · Mathematics · #Advanced Mathematical Modeling in Engineering #FOS: Mathematics #Nonlinear Partial Differential Equations #Optimization and Control (math.OC) #Probability (math.PR) #Stability and Controllability of Differential Equations

paper · pdf · doi:10.48550/arxiv.1201.4821

openalex publication_date 2012/01/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01

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 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∈ W^2,p_loc(ℝⁿ).

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