Applied stochastic control of jump diffusions.

DOI10.1007/B137590zbMath1074.93009OpenAlexW2076424721MaRDI QIDQ703133

Publication date: 10 January 2005

Published in: Universitext (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/b137590

zbMATH Keywords

maximum principle Hamilton-Jacobi-Bellman equation dynamic programming optimal stopping viscosity solutions impulse control singular control jump-diffusion processes optimal stochastic control quasi-variational inequality applications to finance Hamilton-Jacobi-Bellman inequality verification theorems

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Variational and other types of inequalities involving nonlinear operators (general) (47J20) Variational inequalities (49J40) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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