Optimal control of jump-diffusion processes with random parameters

DOI10.56415/BASM.Y2022.I3.P22MaRDI QIDQ6082421zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 29 November 2023

Published in Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.56415/basm.y2022.i3.p22

zbMATH Keywords

control up to exit timecontrolled jump diffusiondynamic programmingMarkov modulated jump diffusionoptimal control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on discrete state spaces (60J74) Optimal stochastic control (93E20)

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Cites work

• Explicit solution for a vector-valued LQG homing problem
• scientific article; zbMATH DE number 3889341 (Why is no real title available?)
• LQG homing for jump-diffusion processes
• LQG homing problems for processes used in financial mathematics
• Optimally ending an epidemic

Cited in

(13)

• Optimal control problem associated with jump processes
• Control of jump-like processes in constrained problems
• On the impulse control of jump diffusions
• Calibration of a Jump-Diffusion Process Using Optimal Control
• scientific article; zbMATH DE number 6506943 (Why is no real title available?)
• scientific article; zbMATH DE number 3923820 (Why is no real title available?)
• Commande optimale du processus de wiener
• A general optimality conditions for stochastic control problems of jump diffusions
• Exact solutions to the homing problem for a Wiener process with jumps
• scientific article; zbMATH DE number 5207903 (Why is no real title available?)
• Applied stochastic control of jump diffusions
• On the LP formulation in measure spaces of optimal control problems for jump-diffusions
• Optimal control with delay of jump random processes

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