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Deterministic minimax impulse control

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.
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Contributor : Jean-Luc Gouzé Connect in order to contact the contributor
Submitted on : Tuesday, July 23, 2013 - 11:22:43 AM
Last modification on : Friday, February 4, 2022 - 3:09:49 AM

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Naïma El Farouq, Guy Barles, Pierre Bernhard. Deterministic minimax impulse control. Applied Mathematics and Optimization, 2010, 61, pp.353--378. ⟨10.1007/s00245-009-9090-0⟩. ⟨hal-00847284⟩



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