scientific article; zbMATH DE number 1109579

MaRDI QIDQ4374768zbMATH OpenFDO

Authors Paola Tardelli

Publication date 15 September 1999

zbMATH Keywords

approximation techniquesHJBjump processrate of convergencestochastic control

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

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• Diffusive limit approximation of pure-jump optimal stochastic control problems
• Control improvement for jump-diffusion processes with applications to finance
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