Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions

Roland C. Seydel

Stochastic Processes and their Applications, 2009, vol. 119, issue 10, 3719-3748

Abstract: General theorems for existence and uniqueness of viscosity solutions for Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVI) with integral term are established. Such nonlinear partial integro-differential equations (PIDE) arise in the study of combined impulse and stochastic control for jump-diffusion processes. The HJBQVI consists of an HJB part (for stochastic control) combined with a nonlocal impulse intervention term. Existence results are proved via stochastic means, whereas our uniqueness (comparison) results adapt techniques from viscosity solution theory. This paper, to our knowledge is the first treating rigorously impulse control for jump-diffusion processes in a general viscosity solution framework; the jump part may have infinite activity. In the proofs, no prior continuity of the value function is assumed, quadratic costs are allowed, and elliptic and parabolic results are presented for solutions possibly unbounded at infinity.

Keywords: Impulse; control; Combined; stochastic; control; Jump-diffusion; processes; Viscosity; solutions; Quasi-variational; inequalities (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (11)

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