IMPULSE CONTROL OF MULTIDIMENSIONAL JUMP DIFFUSIONS IN FINITE TIME HORIZON∗

Abstract. This paper analyzes a class of impulse control problems for multidimensional jump diffusions in the finite time horizon. Following the basic mathematical setup from Stroock and Varadhan [Multidimensional Diffusion Processes, Springer-Verlag, Heidelberg, 2006], this paper first establishes rigorously an appropriate form of the dynamic programming principle. It then shows that the value function is a viscosity solution for the associated Hamilton–Jacobi–Bellman equation involving integro-differential operators. Finally, under additional assumptions that the jumps are of infinite activity but are of finite variation and that the diffusion is uniformly elliptic, it proves that the value function is the unique viscosity solution and has W (2,1),p loc regularity for 1 < p <∞