Impulse control acts on a state by discrete interventions: at stopping times it moves by jumps , each paying a cost with a fixed part . Its value function satisfies a quasi-variational inequality: (for a cost-minimisation, with signs reversed), where is the value of acting now: the obstacle depends on the unknown itself.
Quantitative Finance · Glosarium
Apa itu Impulse control, quasi-variational inequality?
Dikenal juga sebagai: impulse control · quasi-variational inequality