Minimax Impulse Control Problems in Finite Horizon

Abstract

We consider the problem of impulse control minimax in finite horizon, when cost functions $(C(t,x,\xi )>0)$. We show existence of value function of the problem. 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.

arXiv comment22 pages. arXiv admin note: substantial text overlap with arXiv:1003.3409

Cited by in corpus (1)

• The Finite Horizon impulse control Problem with arbitrary cost functions : the Viscosity Solution Approach