An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes (Q3506297): Difference between revisions
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Revision as of 12:34, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes |
scientific article |
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An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes (English)
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12 June 2008
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stochastic differential equations
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optimal control problems
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Lévy processes
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jumps
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viscosity solution
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Lévy generators
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financial market models
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Hamilton-Jacobi-Bellman equation
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