The Finite Horizon impulse control Problem with arbitrary cost functions : the Viscosity Solution Approach
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🧮 math.OC
math.PR
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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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