On the Impulse Control of Jump Diffusions

Abstract

Regularity of the impulse control problem for a non-degenerate $n$-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined by Davis, Guo, and Wu (SICON 2010). Here we extend the analysis to include infinite activity and infinite variation jumps. More specifically, we show that the value function $u$ of the impulse control problem satisfies $u\in W_{\mathrm{loc}}^{2,p}({\mathbb{R}}^n)$.

To appear in the SIAM Journal on Control and Optimization