Applied stochastic control of jump diffusions
applications to financedelayed informationdynamic programmingHamilton-Jacobi-Bellman equationHamilton-Jacobi-Bellman inequalityimpulse controljump-diffusion processesmaximum principleoptimal stochastic controloptimal stoppingquasi-variational inequalitysingular controlstochastic (partial) differential equationsverification theoremsviscosity solutions
Variational and other types of inequalities involving nonlinear operators (general) (47J20) Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stopping times; optimal stopping problems; gambling theory (60G40) Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Financial applications of other theories (91G80) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20)
The main purpose of this excellent monograph is to give a rigorous non-technical introduction to the most important and useful solution methods of various types of optimal stochastic control problems for jump diffusions and their applications. The covered types of control problems include classical stochastic control, optimal stopping, impulse control, and singular control. Both the dynamic programming method and the maximum principle method are discussed and relations between them are studied. Corresponding verification theorems involving the Hamilton-Jacobi-Bellman equation and/or (quasi-)variational inequalities are formulated. Viscosity solution formulation and numerical methods are also discussed. The text emphasises the applied aspect of the theory, mostly the applications to finance are discussed. All the main results are illustrated by examples, and exercises appearing at the end of each chapter are accompanied with complete detailed solutions. This really helps the reader to understand the theory and to see how it can be applied. The book assumes some basic knowledge of stochastic analysis, measure theory, and partial differential equations. In this second edition of the book (see Zbl 1074.93009 for the first edition) a new chapter (Chapter 10) on optimal control of stochastic partial differential equations driven by Lévy processes is added. There is also a new section (Section 2.3) on optimal stopping with delayed information. Moreover, corrections and other improvements have beed made.
- Applied stochastic control of jump diffusions.
- Applied stochastic control of jump diffusions
- scientific article; zbMATH DE number 5207903
- Stochastic optimisation and control applied to finance
- Controlled Markov processes and viscosity solutions
- scientific article; zbMATH DE number 1325009
- scientific article; zbMATH DE number 1066231
- Stochastic Control in Discrete and Continuous Time
- LQG homing for jump-diffusion processes
- On some recent aspects of stochastic control and their applications
- A maximum principle approach to risk indifference pricing with partial information
- Maximum principle for stochastic differential games with partial information
- Optimal stochastic impulse control with delayed reaction
- Equilibrium variance risk premium in a cost-free production economy
- Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
- Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
- The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
- Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
- Dynamic tax evasion with audits based on visible consumption
- Stochastic continuous time growth models that allow for closed form solutions
- Costly sequential experimentation and project valuation with an application to health technology assessment
- Alpha-robust mean-variance reinsurance-investment strategy
- Stabilization of the stochastic jump diffusion systems by state-feedback control
- An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities
- The jump size distribution of the commodity spot price and its effect on futures and option prices
- A multiplicative seasonal component in commodity derivative pricing
- Optimal investment in markets with over and under-reaction to information
- Taylor approximation of stochastic functional differential equations with the Poisson jump
- Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
- Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
- Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage
- Time-consistent stopping under decreasing impatience
- Multidimensional investment problem
- Linear Volterra backward stochastic integral equations
- Exponential stability of stochastic systems with delay and Poisson jumps
- Stochastic maximum principle for partial information optimal control problem of forward-backward systems involving classical and impulse controls
- Moments of the asset price for the Barndorff-Nielsen and Shephard model
- An approximation scheme for impulse control with random reaction periods
- Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem
- Existence, nonexistence and multiplicity results for nonlocal Dirichlet problems
- Analytical solution for an investment problem under uncertainties with shocks
- A Fokker-Planck control framework for stochastic systems
- \(L^{1}\) semigroup generation for Fokker-Planck operators associated to general Lévy driven sdes
- Control of jump-like processes in constrained problems
- Tax audits, fines and optimal tax evasion in a dynamic context
- Sharp Green function estimates for \(\Delta + \delta ^{\alpha /2}\) in \(C^{1,1}\) open sets and their applications
- Multisource Bayesian sequential binary hypothesis testing problem
- Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
- Optimal dividends in the dual model under transaction costs
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
- Simplified stochastic calculus with applications in economics and finance
- Local versus nonlocal elliptic equations: short-long range field interactions
- Lévy-Ito models in finance
- Numerical analysis and applications of Fokker-Planck equations for stochastic dynamical systems with multiplicative \(\alpha \)-stable noises
- \(\mathscr{H}_-\) index for Itô stochastic systems with Poisson jump
- Regression Monte Carlo for impulse control
- An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems
- Investment timing and capacity choice in duopolistic competition under a jump-diffusion model
- A variation of constant formula for Caputo fractional stochastic differential equations with jump-diffusion
- Optimal control for stochastic Volterra equations with multiplicative Lévy noise
- Management of online server congestion using optimal demand throttling
- Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation
- Undiscounted bandit games
- Well-posedness and large deviations for 2D stochastic constrained Navier-Stokes equations driven by Lévy noise in the Marcus canonical form
- Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations
- Forward-backward stochastic differential games and stochastic control under model uncertainty
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
- A stochastic multiscale model for electricity generation capacity expansion
- An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
- Optimal equivalent probability measures under enlarged filtrations
- A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion
- Inverse optimal control of stochastic systems driven by Lévy processes
- Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
- Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
- Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates
- Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
- Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
- A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
- Optimal cash management problem for compound Poisson processes with two-sided jumps
- Optimal investment, consumption and timing of annuity purchase under a preference change
- Market viability and martingale measures under partial information
- A quickest detection problem with an observation cost
- Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
- Infinite horizon optimal control of forward-backward stochastic differential equations with delay
- Optimal control of stochastic hybrid system with jumps: a numerical approximation
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
- Maximum principles for jump diffusion processes with infinite horizon
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
- Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
- Holomorphic transforms with application to affine processes
- Funding and investment decisions in a stochastic defined benefit pension plan with regime switching
- Optimal synchronization problem for a multi-agent system
- Optimal pension decision under heterogeneous health statuses and bequest motives
- A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes
- On the solution of general impulse control problems using superharmonic functions
- Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions
- BSDEs with jumps, optimization and applications to dynamic risk measures
- Controlled Markov processes and viscosity solutions
- On a generalization from ruin to default in a Lévy insurance risk model
- Exact simulation problems for jump-diffusions
- Mean-variance portfolio selection in presence of infrequently traded stocks
- The viability property of controlled jump diffusion processes
- An optimal trading problem in intraday electricity markets
- A stochastic maximum principle with dissipativity conditions
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
- Malliavin calculus and optimal control of stochastic Volterra equations
- On a class of singular stochastic control problems for reflected diffusions
- A white noise approach to optimal insider control of systems with delay
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