Control improvement for jump-diffusion processes with applications to finance
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Publication:434360
DOI10.1007/S00245-011-9141-1zbMATH Open1242.93141OpenAlexW1985648524MaRDI QIDQ434360FDOQ434360
Publication date: 10 July 2012
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://publikationen.bibliothek.kit.edu/1000032857/3282658
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Cites Work
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- Continuous-time stochastic control and optimization with financial applications
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- Applied stochastic control of jump diffusions.
Cited In (5)
- Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market
- Title not available (Why is that?)
- Optimal investment under transaction costs for an insurer
- On the impulse control of jump diffusions
- Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions
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