Speaker:
Professor Qingshuo Song
Institution:
USC
Time:
Tuesday, December 2, 2008 - 11:00am
Location:
RH306
We consider impulse control problems motivated from portfolio
optimization with sub-additive transaction cost. We show that the
optimal strategy exists and the number of its jumps is integrable. The
value function is characterized by a new type of Quasi-variational
inequalities. It is a joint work with Jin Ma, Jing Xu, and Jianfeng
Zhang.