Stochastic impulse control Problem with state and time dependent cost functions

Brahim El Asri; Sehail Mazid

doi:10.3934/mcrf.2020022

Article Contents

2020, Volume 10, Issue 4: 855-875. Doi: 10.3934/mcrf.2020022

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$ L^1 $

-control in coefficients for quasi-linear Dirichlet boundary value problems with

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$ p $

-Laplacian Next Article Semi-conical eigenvalue intersections and the ensemble controllability problem for quantum systems

Stochastic impulse control Problem with state and time dependent cost functions

Brahim El Asri^1, and
Sehail Mazid^2,

1.
Equipe. Aide à la decision, Université Ibn Zohr, ENSA, B.P. 1136, Agadir, Maroc
2.
Department of Mathematical Sciences, Norwegian University of Sciences and Technology, Trondheim, 7491, Norway

Received: August 2019

Revised: November 2019

Early access: March 2020

Published: October 2020

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Abstract

We consider stochastic impulse control problems when the impulses cost functions depend on $ t $ and $ x $. We use the approximation scheme 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.

Keywords:

Mathematics Subject Classification: 93E20, 35Q93, 35D40.

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References

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