Control improvement for jump-diffusion processes with applications to finance
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Publication:434360
DOI10.1007/s00245-011-9141-1zbMath1242.93141MaRDI QIDQ434360
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
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
93E20: Optimal stochastic control
91E10: Cognitive psychology
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Cites Work