A solvable singular control problem driven by a jump diffusion process with applications
DOI10.1080/15326349.2015.1090881zbMATH Open1344.49030OpenAlexW2293091867MaRDI QIDQ2803407FDOQ2803407
Publication date: 4 May 2016
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349.2015.1090881
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Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20)
Cites Work
- A Jump-Diffusion Model for Option Pricing
- User’s guide to viscosity solutions of second order partial differential equations
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
- Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
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- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- Optimal spot market inventory strategies in the presence of cost and price risk
- A Model for Reversible Investment Capacity Expansion
- Some solvable stochastic control problemst†
- Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
- Impulse Control of Multidimensional Jump Diffusions
- Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
- Connections between Singular Control and Optimal Switching
- Impulse control of multidimensional jump diffusions in finite time horizon
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