Abstract
Optimal stopping and impulse control problems for degenerate diffusion with jumps are studied in this paper. Lipschitzian coefficients for the diffusion process, data with polynomial growth, and evolution in the whole space are the main assumptions on the models. Several characterizations of the optimal cost functions are given. Existence of optimal policies is obtained.
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This research has been supported in part by Army Research Office Contract DAAG29-83-K-0014 and by National Science Foundation Grant DMS-8601998.
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Menaldi, JL. Optimal impulse control problems for degenerate diffusions with jumps. Acta Appl Math 8, 165–198 (1987). https://doi.org/10.1007/BF00046712
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DOI: https://doi.org/10.1007/BF00046712