Impulse Control of Multidimensional Jump Diffusions

This paper studies regularity properties of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly `infinite-activity' jumps. Surprisingly, despite these jumps, we obtain the same degree of regularity as for the diffusion case, at least when the jump satisfies certain integrability conditions.

• Type: Journal
• Year: 2010
• Where: SIAMCO
• Authors: Mark H. A. Davis, Xin Guo, Guoliang Wu
• Keywords: Certain Integrability Conditions, Impulse Control Problem, Multidimensional Jump Diffusion, SIAMCO 2010