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Deterministic minimax impulse control. (English) Zbl 1198.49025

Summary: We prove the uniqueness of the viscosity solution of an Isaacs quasi-variational inequality arising in an impulse control minimax problem, motivated by an application in mathematical finance.

MSC:

49L25 Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
49N25 Impulsive optimal control problems
49N70 Differential games and control
49J40 Variational inequalities
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