Optimal control problem associated with jump processes

DOI10.1007/s00245-004-0795-9zbMath1052.60050OpenAlexW2017219760MaRDI QIDQ1885380

Yasushi Ishikawa

Publication date: 28 October 2004

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-004-0795-9

zbMATH Keywords

mathematical financestochastic control of jump typeviscosity solution of partial differential equations

Mathematics Subject Classification ID

Related Items (19)

Perron's method for nonlocal fully nonlinear equations ⋮ Consumption-investment problem with transaction costs for Lévy-driven price processes ⋮ Optimal Stopping Problem Associated with Jump-diffusion Processes ⋮ Integro-PDE in Hilbert spaces: existence of viscosity solutions ⋮ Uniqueness for integro-PDE in Hilbert spaces ⋮ Optimal portfolio and consumption selection with default risk ⋮ Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions ⋮ Optimal risk control and dividend policies under excess of loss reinsurance ⋮ Optimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion Process ⋮ Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization ⋮ Stochastic control of SDEs associated with Lévy generators and application to financial optimization ⋮ Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes ⋮ On a class of singular stochastic control problems driven by Lévy noise ⋮ An optimal portfolio problem in a defaultable market ⋮ Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations ⋮ Optimal stochastic impulse control with delayed reaction ⋮ Dynamic programming principle for stochastic control problems driven by general Lévy noise ⋮ RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS ⋮ Optimal execution strategy in the presence of permanent price impact and fixed transaction cost

This page was built for publication: Optimal control problem associated with jump processes