Combined Stochastic Control and Impulse Control of Jump Diffusions

  • Bernt ØksendalEmail author
  • Agnès Sulem
Part of the Universitext book series (UTX)


Consider the general situation in Chap. 9, except that now we assume that we, in addition, are free at any state \(y\in \mathbb {R}^k\) to choose a Markov control \(u(y)\in U\), where U is a given closed convex set in \(\mathbb {R}^p\). Let \(\mathcal{U}\) be a given family of such Markov controls u.

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© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of OsloOsloNorway
  2. 2.Inria Research Center of ParisParisFrance

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