Approximations for functionals and optimal control problems on jump diffusion processes
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Cites work
- A Survey of Some Applications of Probability and Stochastic Control Theory to Finite Difference Methods for Degenerate Elliptic and Parabolic Equations
- scientific article; zbMATH DE number 3669505 (Why is no real title available?)
- scientific article; zbMATH DE number 3272009 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Probability methods for approximations in stochastic control and for elliptic equations
- Probability methods for the convergence of finite difference approximations to partial differential-integral equations. II
Cited in
(21)- Non-linear filtering with discontinuous observations and applications to life sciences
- Weak convergence of semimartingales and discretisation methods
- Numerical studies of the performance of an optimally controlled nonlinear stochastic oscillator
- Continuous-time approximations for the nonlinear filtering problem
- Optimal controls that maximize the probability of hitting a moving target
- A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
- On discrete probability approximations for transaction cost problems
- Lévy processes driven by stochastic volatility
- An improved Markov chain approximation methodology: derivatives pricing and model calibration
- Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
- Discrete-time markovian-jump linear quadratic optimal control
- Discrete-time bond and option pricing for jump-diffusion processes
- Robustness of estimators in a finitely additive white noise model
- A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
- Exact solutions and doubly efficient approximations of jump-diffusion itô equations
- A general valuation framework for SABR and stochastic local volatility models
- Real (investment) options with multiple sources of rare events
- Discrete ILQG method based on high-order exponential Runge-Kutta discretization
- Approximation of controlled solutions of Ito's equation by controlled Markov chains
- A survey of numerical methods for stochastic differential equations
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