On the Optimal Impulse Control Problem for Degenerate Diffusions

Authors

J. L. Menaldi, Université de Paris IX (Dauphine)Follow

Document Type

Article

Abstract

In this paper, we give a characterization of the optimal cost of an impulse control problem as the maximum solution of a quasi-variational inequality without assuming nondegeneracy. An estimate of the velocity of uniform convergence of the sequence of stopping time problems associated with the impulse control problem is given.

Disciplines

Numerical Analysis and Computation

Comments

Copyright © 1980 Society for Industrial and Applied Mathematics.

Recommended Citation

J.-L. Menaldi, On the optimal impulse control problem for degenerate diffusions, SIAM J. Control Optim., 18 (1980), pp. 722-739. doi: 10.1137/0318053