A randomization framework for impulse control problems derives a semi-linear HJB equation, proves existence and uniqueness, shows convergence to the classical problem as lambda vanishes, and delivers an offline RL algorithm that learns accurate approximations.
Backward SDEs with constrained jumps and quasi-variational inequalities.The Annals of Probability, 38(2):794 – 840, 2010
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A Two-fold Randomization Framework for Impulse Control Problems
A randomization framework for impulse control problems derives a semi-linear HJB equation, proves existence and uniqueness, shows convergence to the classical problem as lambda vanishes, and delivers an offline RL algorithm that learns accurate approximations.