Applied stochastic control of jump diffusions.
From MaRDI portal
dynamic programmingmaximum principleHamilton-Jacobi-Bellman equationoptimal stochastic controloptimal stoppingquasi-variational inequalityviscosity solutionssingular controlimpulse controljump-diffusion processesapplications to financeHamilton-Jacobi-Bellman inequalityverification theorems
Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Continuous-time Markov processes on general state spaces (60J25) 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) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)
Recommendations
Cited in
(only showing first 100 items - show all)- Stock loan with automatic termination clause, cap and margin
- Optimal investment and reinsurance of an insurer with model uncertainty
- Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
- Technological advances and the decision to invest
- Filtering method for linear and non-linear stochastic optimal control of partially observable systems
- On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
- Risk measures for derivatives with Markov-modulated pure jump processes
- Mean-variance portfolio selection for a non-life insurance company
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
- Applied stochastic control of jump diffusions
- Poincaré inequality on the path space of Poisson point processes
- Stochastic transforms for jump diffusion processes combined with related backward stochastic differential equations
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Optimal investment, consumption-leisure, insurance and retirement choice
- On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time
- Portfolio optimization in a defaultable Lévy-driven market model
- Control improvement for jump-diffusion processes with applications to finance
- A continuous-time analysis of optimal restructuring of contracts with costly information disclosure
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
- Contraction options and optimal multiple-stopping in spectrally negative Lévy models
- Stochastic averaging of quasi-integrable and non-resonant Hamiltonian systems under combined Gaussian and Poisson white noise excitations
- The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
- A remark on the definitions of viscosity solutions for the integro-differential equations with Lévy operators
- Nonlinear stochastic integrals for hyperfinite Lévy processes
- Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Dynamic programming for mean-field type control
- BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
- Optimal impulse control for a multidimensional cash management system with generalized cost functions
- Optimal control of a multiclass queueing system when customers can change types
- Optimal impulse control problems for degenerate diffusions with jumps
- Small-time expansions for local jump-diffusion models with infinite jump activity
- Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
- Variational inequalities in stock loan models
- The role of the risk-neutral jump size distribution in single-factor interest rate models
- Permanence and extinction of a stochastic delay logistic model with jumps
- The Kolmogorov-Obukhov statistical theory of turbulence
- Operational risk management: a stochastic control framework with preventive and corrective controls
- Double optimal stopping times and dynamic pricing problem: description of the mathematical model
- Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
- Optimal portfolio in a regime-switching model
- MDP algorithms for portfolio optimization problems in pure jump markets
- Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
- Management of a pension fund under mortality and financial risks
- Stochastic control and mathematical modeling. Applications in economics.
- A policy iteration algorithm for fixed point problems with nonexpansive operators
- BSDEs with logarithmic growth driven by Brownian motion and Poisson random measure and connection to stochastic control problem
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps
- Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
- scientific article; zbMATH DE number 5207903 (Why is no real title available?)
- Efficient numerical methods for pricing American options under stochastic volatility
- Quantifying Model Uncertainties in Complex Systems
- Dynamic mean-variance problem with constrained risk control for the insurers
- Precautionary measures for credit risk management in jump models
- A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
- The truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise
- Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
- Optimal investment under transaction costs for an insurer
- Stability in distribution of a stochastic hybrid competitive Lotka-Volterra model with Lévy jumps
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
- The stochastic goodwill problem
- Stochastic inequalities and applications to dynamics analysis of a novel SIVS epidemic model with jumps
- Numerical simulations and modeling for stochastic biological systems with jumps
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
- Stochastic averaging of quasi-partially integrable Hamiltonian systems under combined Gaussian and Poisson white noise excitations
- Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process
- Optimal stopping and stochastic control differential games for jump diffusions
- Dynamic programming for a Markov-switching jump-diffusion
- Impulse control problem on finite horizon with execution delay
- Stochastic differential delay equations with jumps, under nonlinear growth condition
- Electricity futures price modeling with Lévy term structure models
- Optimal oil-owner behavior in piecewise deterministic models
- The Kolmogorov-Obukhov-She-Leveque scaling in turbulence
- Filtering method for linear and non-linear stochastic optimal control of partially observable systems. II
- Pricing Asset Scheduling Flexibility using Optimal Switching
- A continuous-time search model with job switch and jumps
- The impact of random noise on the dynamics of COVID-19 epidemic model
- On a stochastic Lotka-Volterra competitive system with distributed delay and general Lévy jumps
- Optimal payout policy in presence of downside risk
- DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION
- Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
- Singular ergodic control for multidimensional Gaussian–Poisson processes
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
- OPTIMAL ORDERING POLICIES WITH STOCHASTIC DEMAND AND PRICE PROCESSES
- A multi-stage financial hedging approach for the procurement of manufacturing materials
- Optimal portfolio choice for an insurer with loss aversion
- Practical exponential stability of stochastic age-dependent capital system with Lévy noise
- Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
- Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
- Value function regularity in option pricing problems under a pure jump model
- Monotone systems involving variable-order nonlocal operators
- Portfolio optimization for a large investor controlling market sentiment under partial information
- Numerical Analysis of the Model of Optimal Consumption and Borrowing with Random Time Scale
- Threshold of a stochastic SIR epidemic model with Lévy jumps
- When do jumps matter for portfolio optimization?
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
This page was built for publication: Applied stochastic control of jump diffusions.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q703133)
