Book review: "Mathematical Finance and Probability. A Discrete Introduction" by P. Koch Medina, S. Merino
A note on impulsive control of Feller processes with costly information
The paper deals with the optimal inspections and maintenance problem with costly information for a Markov process with positive discount factor. The associated dynamic programming equation is a quasi-variational inequality with first order differential terms. In this paper we study its different formulations: strong, visousity and evolutionary. The case of impulsive control of purely jump Markov processes is studied as a special case.
Existence, uniqueness and ergodicity for the stochastic quantization equation
Existence, uniqueness and ergodicity of weak solutions to the equation of stochastic quantization in finite volume is obtained as a simple consequence of the Girsanov theorem.
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