Jump-diffusions with controlled jumps: Existence and numerical methods

DOI10.1006/JMAA.2000.6936zbMATH Open0973.93059OpenAlexW1988047778MaRDI QIDQ1584635FDOQ1584635

Authors Harold J. Kushner

Publication date 29 November 2001

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

Full work available at URL https://doi.org/10.1006/jmaa.2000.6936

zbMATH Keywords

optimal control problemrelaxed controlsweak convergence methodscontrolled driftcontrolled jumpsreflected jump-diffusion modelrelaxed Poisson measure

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20) Numerical methods of relaxation type (49M20)

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Cited in

(13)

• Risk-sensitive control for a class of diffusions with jumps
• Optimal insurance in a continuous-time model
• scientific article; zbMATH DE number 3887588 (Why is no real title available?)
• Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
• The viability property of controlled jump diffusion processes
• Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
• A note on stochastic optimal control of reflected diffusions with jumps
• Optimal control of jump-diffusion processes with random parameters
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• scientific article; zbMATH DE number 5207903 (Why is no real title available?)
• A numerical method for reflected diffusions: Control of the reflection directions and applications
• An Ergodic Control Problem for Reflected Diffusion with Jump

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