Applied stochastic control of jump diffusions
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applications to financedelayed informationdynamic programmingHamilton-Jacobi-Bellman equationHamilton-Jacobi-Bellman inequalityimpulse controljump-diffusion processesmaximum principleoptimal stochastic controloptimal stoppingquasi-variational inequalitysingular controlstochastic (partial) differential equationsverification theoremsviscosity solutions
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) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stopping times; optimal stopping problems; gambling theory (60G40) Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Financial applications of other theories (91G80) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20)
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Cited in
(only showing first 100 items - show all)- 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
- Control of jump-like processes in constrained problems
- 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
- 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
- Controlled Markov processes and viscosity solutions
- 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
- The viability property of controlled jump diffusion processes
- 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 a class of singular stochastic control problems for reflected diffusions
- A white noise approach to optimal insider control of systems with delay
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