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

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• scientific article; zbMATH DE number 3877054

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 (12)

• Title not available (Why is that?)
• Risk-sensitive control for a class of diffusions with jumps
• Title not available (Why is that?)
• Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
• An Ergodic Control Problem for Reflected Diffusion with Jump
• Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
• A numerical method for reflected diffusions: Control of the reflection directions and applications
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• A note on stochastic optimal control of reflected diffusions with jumps
• Optimal insurance in a continuous-time model
• The viability property of controlled jump diffusion processes

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