Jump-diffusions with controlled jumps: Existence and numerical methods
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Publication:1584635
An optimal control problem for a reflected jump-diffusion model with controlled drift and jump terms is considered. The analysis is based on weak convergence methods using relaxed controls and introducing a concept of relaxed Poisson measure. This enables to prove the existence of optimal relaxed controls and to apply modifications of numerical algorithms, developed by the author in earlier work, for computing the value function and suboptimal ordinary controls.
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Cited in
(13)- A note on stochastic optimal control of reflected diffusions with jumps
- A numerical method for reflected diffusions: Control of the reflection directions and applications
- Risk-sensitive control for a class of diffusions with jumps
- Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
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