Deterministic Minimax Impulse Control

We prove the uniqueness of the viscosity solution of an Isaacs quasi-variational inequality arising in an impulse control minimax problem, motivated by an application in mathematical finance.

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Bibliographic Details
Published in:	Applied mathematics & optimization Vol. 61; no. 3; pp. 353 - 378
Main Authors:	El Farouq, Naïma, Barles, Guy, Bernhard, Pierre
Format:	Journal Article
Language:	English
Published:	New York Springer-Verlag 01-06-2010 Springer Nature B.V Springer Verlag (Germany)
Subjects:	Automatic Control Engineering CALCULATION METHODS Calculus of Variations and Optimal Control; Optimization Computer Science Control CONTROL THEORY DETERMINISTIC ESTIMATION Dynamical Systems Engineering Sciences Finance Impulses Inequalities Inequality Life Sciences Mathematical analysis Mathematical and Computational Physics MATHEMATICAL METHODS AND COMPUTING Mathematical Methods in Physics MATHEMATICAL SOLUTIONS Mathematics Mathematics and Statistics Minimax technique Numerical and Computational Physics Optimization PULSES Simulation Studies Systems Theory Theoretical Uniqueness VARIATIONAL METHODS Viscosity Robust control Quasi-variational inequality Impulse control Viscosity solution Differential games
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Description
Summary:	We prove the uniqueness of the viscosity solution of an Isaacs quasi-variational inequality arising in an impulse control minimax problem, motivated by an application in mathematical finance.
Bibliography:	ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 23
ISSN:	0095-4616 1432-0606
DOI:	10.1007/s00245-009-9090-0