Impulse Control of Multidimensional Jump Diffusions
Impulse Control of Multidimensional Jump Diffusions
This paper studies regularity properties of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly “infinite-activity” jumps. Surprisingly, despite these jumps, we obtain the same degree of regularity as for the diffusion case, at least when …