Faculty in  Mathematical  Finance             Math Finance Home Conferences Seminars People Open Positions Contact CCF 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, 2012Time: 5:00 pmLocation: Wean Hall 5409Submitted by:  Scott Robertson