Applied stochastic control of jump diffusions
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Publication:5898769
zbMath1116.93004MaRDI QIDQ5898769
Publication date: 17 April 2007
Published in: Universitext (Search for Journal in Brave)
maximum principleHamilton-Jacobi-Bellman equationdynamic programmingoptimal stoppingviscosity solutionsimpulse controlsingular controljump-diffusion processesdelayed informationoptimal stochastic controlquasi-variational inequalityapplications to financeHamilton-Jacobi-Bellman inequalityverification theoremsstochastic (partial) differential equations
Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Variational and other types of inequalities involving nonlinear operators (general) (47J20) Variational inequalities (49J40) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
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