Applied stochastic control of jump diffusions.
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applications to financedynamic programmingHamilton-Jacobi-Bellman equationHamilton-Jacobi-Bellman inequalityimpulse controljump-diffusion processesmaximum principleoptimal stochastic controloptimal stoppingquasi-variational inequalitysingular controlverification 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) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20)
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- Dynamic mean-variance problem with constrained risk control for the insurers
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- Impulse control problem on finite horizon with execution delay
- Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
- A continuous-time search model with job switch and jumps
- Approximation for portfolio optimization in a financial market with shot-noise jumps
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
- Threshold of a stochastic SIR epidemic model with Lévy jumps
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Robustness of stable volatility strategies
- An asymptotic method for quasi-integrable Hamiltonian system with multi-time-delayed feedback controls under combined Gaussian and Poisson white noises
- Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
- The role of the risk-neutral jump size distribution in single-factor interest rate models
- Value function regularity in option pricing problems under a pure jump model
- A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
- Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
- A stochastic SIRS epidemic model incorporating media coverage and driven by Lévy noise
- Extension of the loss probability formula to an overloaded queue with impatient customers
- Contingent claim pricing through a continuous time variational bargaining scheme
- Optimal harvesting for a logistic growth model with predation and a constant elasticity of variance
- Permanence and extinction of a stochastic delay logistic model with jumps
- Stochastic control of drill-heads driven by Lévy processes
- Optimal control of branching diffusion processes: a finite horizon problem
- Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
- Stochastic averaging of quasi-partially integrable Hamiltonian systems under combined Gaussian and Poisson white noise excitations
- On a stochastic Lotka-Volterra competitive system with distributed delay and general Lévy jumps
- Optimal impulse control problems for degenerate diffusions with jumps
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- A multi-stage financial hedging approach for the procurement of manufacturing materials
- Optimal securitization of credit portfolios via impulse control
- Portfolio selection with jumps under regime switching
- Poincaré inequality on the path space of Poisson point processes
- Qualitative analysis of a nonautonomous stochastic \(SIS\) epidemic model with Lévy jumps
- Consuming durable goods when stock markets jump: a strategic asset allocation approach
- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
- Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
- Pricing approximations and error estimates for local Lévy-type models with default
- Impulse output rapid stabilization for heat equations
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
- Periodic solutions of stochastic differential equations driven by Lévy noises
- Stochastic SIR Lévy jump model with heavy-tailed increments
- Indifference pricing of insurance-linked securities in a multi-period model
- Martingale method for optimal investment and proportional reinsurance
- Multiobjective control for nonlinear stochastic Poisson jump-diffusion systems via T-S fuzzy interpolation and Pareto optimal scheme
- BSDEs with logarithmic growth driven by Brownian motion and Poisson random measure and connection to stochastic control problem
- Monotone systems involving variable-order nonlocal operators
- Exact simulation of the first passage time through a given level of jump diffusions
- Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.
- Optimization of stochastic jump diffusion systems nonlinear in the control
- Large deviation principle for a mixed fractional and jump diffusion process
- Optimal dividend strategy under Parisian ruin with affine penalty
- Convolutional neural network based simulation and analysis for backward stochastic partial differential equations
- The impact of random noise on the dynamics of COVID-19 epidemic model
- Inverse optimal control of regime-switching jump diffusions
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- Feed-in tariff contract schemes and regulatory uncertainty
- Nonzero-sum stochastic differential games between an impulse controller and a stopper
- Quantifying model uncertainty in dynamical systems driven by non-Gaussian Lévy stable noise with observations on mean exit time or escape probability
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
- Compositional abstraction-based synthesis for continuous-time stochastic hybrid systems
- Sufficient conditions for terminal invariance of stochastic jump diffusion systems
- A solution technique for Lévy driven long term average impulse control problems
- A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
- Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
- Finite horizon portfolio selection with durable goods
- Optimal bookmaking
- Terminal invariance of jump diffusions
- Quasi-analytical solution of an investment problem with decreasing investment cost due to technological innovations
- Stochastic averaging of quasi-integrable and non-resonant Hamiltonian systems under combined Gaussian and Poisson white noise excitations
- Stochastic control of SDEs associated with Lévy generators and application to financial optimization
- Inverse optimal control of stochastic systems driven by Lévy processes
- Symbolic models for retarded jump-diffusion systems
- Numerical simulations and modeling for stochastic biological systems with jumps
- Consumption-investment problem with pathwise ambiguity under logarithmic utility
- Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
- Dynamic credit quality evaluation with social network data
- Stochastic inequalities and applications to dynamics analysis of a novel SIVS epidemic model with jumps
- Optimal impulse control for a multidimensional cash management system with generalized cost functions
- Jump-diffusion models with constant parameters for financial log-return processes
- A note on super-hedging for investor-producers
- Worst-case investment and reinsurance optimization for an insurer under model uncertainty
- Optimal control using microscopic models for a pollutant elimination problem
- Better than pre-committed optimal mean-variance policy in a jump diffusion market
- Dynamic risk-sharing game and reinsurance contract design
- Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
- Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process
- The stochastic goodwill problem
- Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
- The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
- Double optimal stopping times and dynamic pricing problem: description of the mathematical model
- Mean-variance portfolio selection for a non-life insurance company
- Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization
- Stochastic transforms for jump diffusion processes combined with related backward stochastic differential equations
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Optimal portfolio choice for an insurer with loss aversion
- Portfolio optimization in a defaultable Lévy-driven market model
- Jump-diffusion asset-liability management via risk-sensitive control
- Risk measures for derivatives with Markov-modulated pure jump processes
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