Chapter1998

A Verificiation Theorem for Combined Stochastic Control and Impulse Control

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Stochastic processes and financial applications Optimization and Variational Analysis Adaptive Dynamic Programming Control

Abstract

We formulate a general combined stochastic control and impulse control (sequential optimal stopping) problem. A sufficient condition for a function and a strategy to be a solution is given. The condition involves a quasivariational version of the Hamilton-Jacobi-Bellman (HJB) equation. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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2003Stochastic Differential Equations 2005Controlled Markov Processes and Viscosity Solutions 1990Portfolio Selection with Transaction Costs 1994Controlled markov processes and viscosity solutions 1995Stochastic Differential Equations 1994Optimal Switching in an Economic Activity under Uncertainty 1998Optimal stochastic intervention control with application to the exchange rate 1985Deterministic Impulse Control Problems

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