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Abstract: This paper studies regularity property of the value function for aninfinite-horizon discounted cost impulse control problem, where the underlyingcontrolled process is a multidimensional jump diffusion with possibly`infinite-activity- jumps. Surprisingly, despite these jumps, we obtain thesame degree of regularity as for the diffusion case, at least when the jumpsatisfies certain integrability conditions.



Autor: Mark H.A. Davis, Xin Guo, Guoliang Wu

Fuente: https://arxiv.org/







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