A Remark on Impulse Control Problems with Risk-sensitive Criteria

Hideo Nagai
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Hideo Nagai: Division of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University, Toyonaka, 560-8531, Japan

Chapter 13 in Stochastic Processes and Applications to Mathematical Finance, 2007, pp 219-232 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractA verification theorem for an impulse control problem related to optimal investment with transaction costs is studied. A risk-sensitive variational inequality (QVI) of ergodic type concerns the problem. The pair (u⊂l) of a function u and a constant l is considered to be a solution of the QVI. The constant determines the value of the impulse control problem and an optimal strategy is constructed from the function u. In proving the verification theorem we have uniqueness of the constant l of the solution of the QVI.

Keywords: Stochastic Calculus; Mathematical Finance; Insider Trading; Stochastic Control; Real Options; Filtering Model of Credit Risks; Stochastic Growth Models (search for similar items in EconPapers)
Date: 2007
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