On the Optimal Impulse Control Problem for Degenerate Diffusions

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 impul...

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Bibliographic Details
Published in:SIAM journal on control and optimization 1980-11, Vol.18 (6), p.722-739
Main Author: Menaldi, J. L.
Format: Article
Language:English
Subjects:
Inequality
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Summary: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.
ISSN:0363-0129
1095-7138
DOI:10.1137/0318053