Applied stochastic control of jump diffusions
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dynamic programmingmaximum principleHamilton-Jacobi-Bellman equationoptimal stochastic controloptimal stoppingquasi-variational inequalityviscosity solutionssingular controlimpulse controljump-diffusion processesdelayed informationapplications to financeHamilton-Jacobi-Bellman inequalityverification theoremsstochastic (partial) differential equations
Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Continuous-time Markov processes on general state spaces (60J25) Variational and other types of inequalities involving nonlinear operators (general) (47J20) Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)
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