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Probability and Computational Finance Seminar
Thomas Emmerling
University of Michigan
Title: On the Impulse Control of Jump Diffusions

Abstract: Regularity of the impulse control problem for a non-degenerate n-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined by Davis, Guo, and Wu (2009). This work extended the classical work of Bensoussan and Lions (1982) to include a multidimensional jump diffusion under general assumptions on the controls and cost structure. In this talk, I'll discuss how the analysis can be extended to include infinite activity and infinite variation jump diffusions. More specifically, within this general jump setting, the value function of impulse control has $W^{2,p}_{loc}$-regularity in the whole space.

Date: Monday, February 20, 2012
Time: 5:00 pm
Location: Wean Hall 5409
Submitted by:  Scott Robertson