Diffusive limit approximation of pure-jump optimal stochastic control problems
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Publication:2679562
DOI10.1007/s10957-022-02135-7OpenAlexW3173668763MaRDI QIDQ2679562
Marc Abeille, Lorenzo Croissant, Bruno Bouchard
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
Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26) Jump processes on discrete state spaces (60J74)
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