Applied stochastic control of jump diffusions
From MaRDI portal
Publication:5898769
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
An optimal trading problem in intraday electricity markets, A stochastic maximum principle with dissipativity conditions, Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach, Malliavin calculus and optimal control of stochastic Volterra equations, On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions, Drift perturbation of subordinate Brownian motions with Gaussian component, A jump model for fads in asset prices under asymmetric information, A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models, Sustainable management of fossil fuels: a dynamic stochastic optimization approach with jump-diffusion, Minimizing the probability of lifetime drawdown under constant consumption, Integro-PDE in Hilbert spaces: existence of viscosity solutions, Nonzero-sum stochastic differential game between controller and stopper for jump diffusions, A stochastic maximum principle in mean-field optimal control problems for jump diffusions, The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem, Optimal harvesting for a logistic population dynamics driven by a Lévy process, Gas storage valuation applying numerically constructed recombining trees, Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach, A general optimality conditions for stochastic control problems of jump diffusions, A tutorial on the deterministic impulse control maximum principle: necessary and sufficient optimality conditions, Symmetric equilibrium strategies in game theoretic real option models, Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance, On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance., Risk minimization in financial markets modeled by Itô-Lévy processes, Generalized semiconcavity of the value function of a jump diffusion optimal control problem, Entry-exit decisions with underlying processes following geometric Lévy processes, Abel-type results for controlled piecewise deterministic Markov processes, Dynamic robust duality in utility maximization, On tamed Milstein schemes of SDEs driven by Lévy noise, An eigenvalue problem for a fully nonlinear elliptic equation with gradient constraint, Optimal stopping of stochastic differential equations with delay driven by Lévy noise, Optimal financing and dividend control in the dual model, Competitive Lotka-Volterra population dynamics with jumps, Near optimality conditions in stochastic control of jump diffusion processes, On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem, Optimality conditions for partial information stochastic control problems driven by Lévy processes, Optimal controls for fractional stochastic functional differential equations of order \(\alpha \in (1, 2\)], Two-sided estimates for the transition densities of symmetric Markov processes dominated by stable-like processes in \(C^{1, \eta}\) open sets, A mixed linear quadratic optimal control problem with a controlled time horizon, A benchmark approach to risk-minimization under partial information, A Donsker delta functional approach to optimal insider control and applications to finance, A finite horizon optimal switching problem with memory and application to controlled SDDEs, Stochastic impulse control problem with state and time dependent cost functions, Optimal double stopping time problem, On the LP formulation in measure spaces of optimal control problems for jump-diffusions, A note on optimal investment-consumption-insurance in a Lévy market, On the smoothness of value functions and the existence of optimal strategies in diffusion models, Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients, Continuous-time Markov decision processes with \(n\)th-bias optimality criteria, Backward SDEs with constrained jumps and quasi-variational inequalities, \(\pi \) options, Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management, Stochastic impulse control of non-Markovian processes, On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy, A maximum principle approach to risk indifference pricing with partial information, Maximum principle for stochastic differential games with partial information, Optimal stochastic impulse control with delayed reaction, Equilibrium variance risk premium in a cost-free production economy, Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps, Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information, A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance, The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes, Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps, Dynamic tax evasion with audits based on visible consumption, Stochastic continuous time growth models that allow for closed form solutions, Costly sequential experimentation and project valuation with an application to health technology assessment, Alpha-robust mean-variance reinsurance-investment strategy, Stabilization of the stochastic jump diffusion systems by state-feedback control, An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities, The jump size distribution of the commodity spot price and its effect on futures and option prices, A multiplicative seasonal component in commodity derivative pricing, Optimal investment in markets with over and under-reaction to information, Taylor approximation of stochastic functional differential equations with the Poisson jump, Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index, Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information, Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage, Time-consistent stopping under decreasing impatience, Multidimensional investment problem, Linear Volterra backward stochastic integral equations, Exponential stability of stochastic systems with delay and Poisson jumps, Stochastic maximum principle for partial information optimal control problem of forward-backward systems involving classical and impulse controls, Moments of the asset price for the Barndorff-Nielsen and Shephard model, An approximation scheme for impulse control with random reaction periods, Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem, Existence, nonexistence and multiplicity results for nonlocal Dirichlet problems, Analytical solution for an investment problem under uncertainties with shocks, A Fokker-Planck control framework for stochastic systems, \(L^{1}\) semigroup generation for Fokker-Planck operators associated to general Lévy driven sdes, Tax audits, fines and optimal tax evasion in a dynamic context, Sharp Green function estimates for \(\Delta + \delta ^{\alpha /2}\) in \(C^{1,1}\) open sets and their applications, Multisource Bayesian sequential binary hypothesis testing problem, Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models, Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs, Optimal dividends in the dual model under transaction costs, Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model, Simplified stochastic calculus with applications in economics and finance, Local versus nonlocal elliptic equations: short-long range field interactions, Lévy-Ito models in finance, Numerical analysis and applications of Fokker-Planck equations for stochastic dynamical systems with multiplicative \(\alpha \)-stable noises, \(\mathscr{H}_-\) index for Itô stochastic systems with Poisson jump, Regression Monte Carlo for impulse control, THE VIX AND FUTURE INFORMATION, Optimal Cross-Border Electricity Trading, Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls, Optimal asset allocation for a DC plan with partial information under inflation and mortality risks, A BSDE approach for bond pricing under interest rate models with self-exciting jumps, Invariant measures and boundedness in the mean for stochastic equations driven by Lévy noise, Optimal investment-consumption and life insurance with capital constraints, Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients, Unnamed Item, Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications, Модель поведения производителя при наличии случайных моментов получения кредита и инвестиций, Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model, Spoofing and Price Manipulation in Order-Driven Markets, Fully nonlinear integro-differential equations with deforming kernels, On a mixed fractional Burgers type equation with polynomial nonlinearity and perturbed by fractional Brownian sheet, Stochastic bifurcation in single-species model induced by α-stable Lévy noise, Explicit Representations for Utility Indifference Prices, On the singular risk-sensitive stochastic maximum principle, Optimal Stopping Under Uncertainty in Drift and Jump Intensity, Impulse control and expected suprema, OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION, Optimal dividend strategies in a dual model with capital injections, Stochastic mesh method for optimal stopping problems, Stabilization of Highly Nonlinear Hybrid Stochastic Differential Delay Equations with Lévy Noise by Delay Feedback Control, Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion, The optimal investment problem with inflation and liquidity risk, Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems, Risk-sharing and optimal contracts with large exogenous risks, Finite-time annular domain stability and stabilisation of Itô-type stochastic time-varying systems with Wiener and Poisson noises, Parameter estimation in models generated by SDEs with symmetric alpha-stable noise, Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers, Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems, A stochastic-local volatility model with Lévy jumps for pricing derivatives, Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications, Forwarding inverse optimal formation control design for stochastic mobile agents, Optimality of Two-Parameter Strategies in Stochastic Control, A Hida–Malliavin white noise calculus approach to optimal control, Averaged time-optimal control problem in the space of positive Borel measures, The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management, TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE, Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps, Singular recursive utility, PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS, Optimal insider control of stochastic partial differential equations, Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels, Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility, Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach, The Markov-switching jump diffusion LIBOR market model, A unified approach for drawdown (drawup) of time-homogeneous Markov processes, Unnamed Item, On the exponential stability of switching-diffusion processes with jumps, Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option, Sequential Capacity Expansion Options, Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?, An anticipative stochastic minimum principle under enlarged filtrations, Maximum principles for nonlocal parabolic Waldenfels operators, AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK, Algorithmic market making for options, Minimizing the Probability of Ruin When Consumption is Ratcheted, Backstepping control design for stochastic systems driven by Lévy processes, The investor problem based on the HJM model, Merton's Optimal Investment Problem with Jump Signals, Dynamics of a stochastic SIR epidemic model driven by Lévy jumps with saturated incidence rate and saturated treatment function, Online Smoothing for Diffusion Processes Observed with Noise, An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems, Investment timing and capacity choice in duopolistic competition under a jump-diffusion model, A variation of constant formula for Caputo fractional stochastic differential equations with jump-diffusion, Optimal control for stochastic Volterra equations with multiplicative Lévy noise, Management of online server congestion using optimal demand throttling, Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation, Undiscounted bandit games, Well-posedness and large deviations for 2D stochastic constrained Navier-Stokes equations driven by Lévy noise in the Marcus canonical form, Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations, Forward-backward stochastic differential games and stochastic control under model uncertainty, Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset, A stochastic multiscale model for electricity generation capacity expansion, An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models, Optimal equivalent probability measures under enlarged filtrations, A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion, Inverse optimal control of stochastic systems driven by Lévy processes, Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty, Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations, Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates, Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework, Irreversible investment with fixed adjustment costs: a stochastic impulse control approach, A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling, Optimal cash management problem for compound Poisson processes with two-sided jumps, Optimal investment, consumption and timing of annuity purchase under a preference change, Market viability and martingale measures under partial information, A quickest detection problem with an observation cost, Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims, Infinite horizon optimal control of forward-backward stochastic differential equations with delay, Optimal control of stochastic hybrid system with jumps: a numerical approximation, Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE, Maximum principles for jump diffusion processes with infinite horizon, Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model, Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients, Holomorphic transforms with application to affine processes, Funding and investment decisions in a stochastic defined benefit pension plan with regime switching, Optimal synchronization problem for a multi-agent system, Optimal pension decision under heterogeneous health statuses and bequest motives, A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes, On the solution of general impulse control problems using superharmonic functions, Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions, BSDEs with jumps, optimization and applications to dynamic risk measures, On a generalization from ruin to default in a Lévy insurance risk model, Exact simulation problems for jump-diffusions, Mean-variance portfolio selection in presence of infrequently traded stocks, On a class of singular stochastic control problems for reflected diffusions, A white noise approach to optimal insider control of systems with delay, Convergence of the embedded mean-variance optimal points with discrete sampling, Demand for non-life insurance under habit formation, Impulsive stochastic Volterra integral equations driven by Lévy noise, Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps, Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market, Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients, A novel mathematical analysis and threshold reinforcement of a stochastic dengue epidemic model with Lévy jumps, A continuous-time model of self-protection, Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model, Lévy Processes with Two-Sided Reflection, Boundary Harnack principle for $Δ+ Δ^{𝛼/2}$, Portfolio optimization under model uncertainty and BSDE games, Optimal Stopping Problem Associated with Jump-diffusion Processes, Robust Stochastic Control and Equivalent Martingale Measures, Limit behaviour of BSDE with jumps and with singular terminal condition, Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model, EQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICY, Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations, Forward-backward stochastic differential equation games with delay and noisy memory, Singular stochastic control model for algae growth management in dam downstream, Stochastic differential game for management of non-renewable fishery resource under model ambiguity, MARKET MAKING WITH ALPHA SIGNALS, Stochastic optimal switching model for migrating population dynamics, Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise, Risk minimizing portfolios and HJBI equations for stochastic differential games, Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes
