Diffusive limit approximation of pure-jump optimal stochastic control problems

DOI10.1007/S10957-022-02135-7MaRDI QIDQ2679562zbMATH OpenOpenAlexFDO

Authors Marc Abeille, Bruno Bouchard, Lorenzo Croissant

Publication date 23 January 2023

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.12848

zbMATH Keywords

diffusive limitonline auctionsstochastic optimal control

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Auctions, bargaining, bidding and selling, and other market models (91B26) Optimal stochastic control (93E20)

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Cited in

(8)

• The stochastic reach-avoid problem and set characterization for diffusions
• Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
• scientific article; zbMATH DE number 5207903 (Why is no real title available?)
• Applied stochastic control of jump diffusions
• Diffusive limit approximation of pure-jump optimal stochastic control problems
• A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
• Diffusive limit approximation of pure jump optimal ergodic control problems
• On the LP formulation in measure spaces of optimal control problems for jump-diffusions

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