# Deterministic minimax impulse control in finite horizon: the viscosity solution approach

ESAIM: Control, Optimisation and Calculus of Variations (2013)

- Volume: 19, Issue: 1, page 63-77
- ISSN: 1292-8119

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topEl Asri, Brahim. "Deterministic minimax impulse control in finite horizon: the viscosity solution approach." ESAIM: Control, Optimisation and Calculus of Variations 19.1 (2013): 63-77. <http://eudml.org/doc/272769>.

@article{ElAsri2013,

abstract = {We study here the impulse control minimax problem. We allow the cost functionals and dynamics to be unbounded and hence the value functions can possibly be unbounded. We prove that the value function of the problem is continuous. Moreover, the value function is characterized as the unique viscosity solution of an Isaacs quasi-variational inequality. This problem is in relation with an application in mathematical finance.},

author = {El Asri, Brahim},

journal = {ESAIM: Control, Optimisation and Calculus of Variations},

keywords = {impulse control; robust control; differential games; quasi-variational inequality; viscosity solution},

language = {eng},

number = {1},

pages = {63-77},

publisher = {EDP-Sciences},

title = {Deterministic minimax impulse control in finite horizon: the viscosity solution approach},

url = {http://eudml.org/doc/272769},

volume = {19},

year = {2013},

}

TY - JOUR

AU - El Asri, Brahim

TI - Deterministic minimax impulse control in finite horizon: the viscosity solution approach

JO - ESAIM: Control, Optimisation and Calculus of Variations

PY - 2013

PB - EDP-Sciences

VL - 19

IS - 1

SP - 63

EP - 77

AB - We study here the impulse control minimax problem. We allow the cost functionals and dynamics to be unbounded and hence the value functions can possibly be unbounded. We prove that the value function of the problem is continuous. Moreover, the value function is characterized as the unique viscosity solution of an Isaacs quasi-variational inequality. This problem is in relation with an application in mathematical finance.

LA - eng

KW - impulse control; robust control; differential games; quasi-variational inequality; viscosity solution

UR - http://eudml.org/doc/272769

ER -

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