Applied stochastic control of jump diffusions
zbMath1116.93004MaRDI QIDQ5898769
Publication date: 17 April 2007
Published in: Universitext (Search for Journal in Brave)
maximum principle; Hamilton-Jacobi-Bellman equation; dynamic programming; optimal stopping; viscosity solutions; impulse control; singular control; jump-diffusion processes; delayed information; optimal stochastic control; quasi-variational inequality; applications to finance; Hamilton-Jacobi-Bellman inequality; verification theorems; stochastic (partial) differential equations
60G51: Processes with independent increments; Lévy processes
60J25: Continuous-time Markov processes on general state spaces
47J20: Variational and other types of inequalities involving nonlinear operators (general)
49J40: Variational inequalities
93-02: Research exposition (monographs, survey articles) pertaining to systems and control theory
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
60J60: Diffusion processes
91G80: Financial applications of other theories
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
60-02: Research exposition (monographs, survey articles) pertaining to probability theory
Related Items