Applied stochastic control of jump diffusions.
From MaRDI portal
Publication:703133
DOI10.1007/b137590zbMath1074.93009OpenAlexW2076424721MaRDI QIDQ703133
Publication date: 10 January 2005
Published in: Universitext (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/b137590
maximum principleHamilton-Jacobi-Bellman equationdynamic programmingoptimal stoppingviscosity solutionsimpulse controlsingular controljump-diffusion processesoptimal stochastic controlquasi-variational inequalityapplications to financeHamilton-Jacobi-Bellman inequalityverification theorems
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) 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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