Deterministic Minimax Impulse Control
Journal Article
·
· Applied Mathematics and Optimization
- Universite de Tours, Laboratoire de Mathematiques et Physique Theorique, Federation Denis Poisson (France)
- INRIA-Sophia Antipolis-Mediterranee (France)
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.
- OSTI ID:
- 21480266
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 3 Vol. 61; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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