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The Finite Horizon impulse control Problem with arbitrary cost functions : the Viscosity Solution Approach

Published 15 Jan 2019 in math.OC and math.PR | (1901.05037v1)

Abstract: We consider stochastic impulse control problems when the impulses cost functions are arbitrary. We use the dynamic programming principle and viscosity solutions approach to show that the value function is a unique viscosity solution for the associated Hamilton-Jacobi-Bellman equation (HJB) partial differential equation (PDE) of stochastic impulse control problems

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Authors (2)

  1. Brahim El Asri 
  2. Sehail Mazid 

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