DETERMINISTIC MINIMAX IMPULSE CONTROL IN FINITE HORIZON: THE VISCOSITY SOLUTION APPROACH

作者：El Asri Brahim^*

来源：ESAIM: Control, Optimisation and Calculus of Variations , 2013, 19(1): 63-77.

DOI：10.1051/cocv/2011200

• Impulse control
• robust control
• differential games
• quasi-variational inequality
• viscosity solution

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.

• 出版日期2013-1