Approximations for functionals and optimal control problems on jump diffusion processes

DOI10.1016/0022-247X(78)90072-0zbMath0379.93053MaRDI QIDQ1247291

Giovanni B. Di Masi, Harold J. Kushner

Publication date: 1978

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (20)

Lévy processes driven by stochastic volatility ⋮ Discrete-time markovian-jump linear quadratic optimal control ⋮ Discrete-time bond and option pricing for jump-diffusion processes ⋮ AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ Numerical studies of the performance of an optimally controlled nonlinear stochastic oscillator ⋮ Continuous-time approximations for the nonlinear filtering problem ⋮ Robustness of estimators in a finitely additive white noise model ⋮ Optimal controls that maximize the probability of hitting a moving target ⋮ A survey of numerical methods for stochastic differential equations ⋮ A robust discrete state approximation to the optimal nonlinear filter for a diffusiont ⋮ Real (investment) options with multiple sources of rare events ⋮ A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model ⋮ On discrete probability approximations for transaction cost problems ⋮ Higher-Order Weak Approximation of Ito Diffusions by Markov Chains ⋮ Approximation of controlled solutions of Ito's equation by controlled Markov chains ⋮ Non-linear filtering with discontinuous observations and applications to life sciences ⋮ Exact solutions and doubly efficient approximations of jump-diffusion itô equations ⋮ Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation ⋮ Weak convergence of semimartingales and discretisation methods

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• 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
• A Survey of Some Applications of Probability and Stochastic Control Theory to Finite Difference Methods for Degenerate Elliptic and Parabolic Equations

This page was built for publication: Approximations for functionals and optimal control problems on jump diffusion processes