An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes
DOI10.1080/07362990802007004zbMath1144.60036OpenAlexW1972939169MaRDI QIDQ3506297
Jiang-Lun Wu, Jonathan Bennett
Publication date: 12 June 2008
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990802007004
Hamilton-Jacobi-Bellman equationjumpsLévy processesviscosity solutionstochastic differential equationsoptimal control problemsfinancial market modelsLévy generators
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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