A Fokker-Planck based approach to control jump processes

DOI10.1007/978-3-319-61282-9_23MaRDI QIDQ4626516zbMATH OpenOpenAlexFDO

Authors B. Gaviraghi, M. Annunziato, Alfio Borzì

Publication date 28 February 2019

Published in Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-61282-9_23

zbMATH Keywords

control sparsityjump-diffusion processoptimal sparse-control

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Discrete approximations in optimal control (49M25) Optimal stochastic control (93E20)

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Cites work

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Cited in

(6)

• On the optimal control of a random walk with jumps and barriers
• A Fokker-Planck control framework for stochastic systems
• Control of jump-like processes in constrained problems
• Optimal control of electricity input given an uncertain demand
• Hermite approximation of a hyperbolic Fokker-Planck optimality system to control a piecewise-deterministic process
• A Fokker-Planck control framework for multidimensional stochastic processes

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Uses Software

• iPiano

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