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Deterministic Minimax Impulse Control

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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

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References (21)

Publisher
Springer Journals
Copyright
Copyright © 2010 by Springer Science+Business Media, LLC
Subject
Mathematics; Numerical and Computational Physics; Mathematical Methods in Physics; Theoretical, Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
ISSN
0095-4616
eISSN
1432-0606
DOI
10.1007/s00245-009-9090-0
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Jun 1, 2010

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