On singular stochastic control problems for diffusion with jumps
- 1 November 1984
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 29 (11) , 991-1004
- https://doi.org/10.1109/tac.1984.1103433
Abstract
We consider some cases of control problems for diffusion processes with jumps when the payoff functional does not depend explicitly on the control. We prove the continuity of the optimal cost with a quasi-variational inequality interpreting the problems as the limit of an impulse control problem when the cost of impulse tends to zero. Moreover, we show the existence of an optimal control for some particular situations.Keywords
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