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• W3122437676 abstract "This paper establishes existence of optimal controls for a general stochastic impulse control problem. For this, the value function is characterized as the pointwise minimum of a set of superharmonic functions, as the unique continuous viscosity solution of the quasi-variational inequalities (QVIs), and as the limit of a sequence of iterated optimal stopping problems. A combination of these characterizations is used to construct optimal controls without relying on any regularity of the value function beyond continuity. Our approach is based on the stochastic Perron method and the assumption that the associated QVIs satisfy a comparison principle." @default.
• W3122437676 created "2021-02-01" @default.
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• W3122437676 date "2017-01-01" @default.
• W3122437676 modified "2023-10-18" @default.
• W3122437676 title "A General Verification Result for Stochastic Impulse Control Problems" @default.
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• W3122437676 doi "https://doi.org/10.1137/16m1082822" @default.
• W3122437676 hasPublicationYear "2017" @default.
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