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Journal Articles Applied Mathematics and Optimization Year : 2010

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.

Dates and versions

hal-00847284 , version 1 (23-07-2013)

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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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