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Irregular obstacles and quasi-variational inequalities of stochastic impulse control. (English) Zbl 0503.49008

MSC:
49J40 Variational inequalities
49J55 Existence of optimal solutions to problems involving randomness
35D10 Regularity of generalized solutions of PDE (MSC2000)
26B35 Special properties of functions of several variables, Hölder conditions, etc.
93E20 Optimal stochastic control
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References:
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