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arxiv: 1901.05037 · v1 · pith:HWQMYGGMnew · submitted 2019-01-15 · 🧮 math.OC · math.PR

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

classification 🧮 math.OC math.PR
keywords controlimpulseviscosityapproacharbitrarycostequationfunctions
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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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