Applied stochastic control of jump diffusions.
From MaRDI portal
Publication:703133
DOI10.1007/B137590zbMATH Open1074.93009OpenAlexW2076424721MaRDI QIDQ703133FDOQ703133
Authors: B. Øksendal, Agnès Sulem 
Publication date: 10 January 2005
Published in: Universitext (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/b137590
Recommendations
dynamic programmingmaximum principleHamilton-Jacobi-Bellman equationoptimal stochastic controloptimal stoppingquasi-variational inequalityviscosity solutionssingular controlimpulse controljump-diffusion processesapplications to financeHamilton-Jacobi-Bellman inequalityverification theorems
Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Continuous-time Markov processes on general state spaces (60J25) 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) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)
Cited In (only showing first 100 items - show all)
- Title not available (Why is that?)
- Sufficient conditions for terminal invariance of stochastic jump diffusion systems
- Linear-quadratic stochastic Stackelberg differential games for jump-diffusion systems
- Lévy noise perturbation for an epidemic model with impact of media coverage
- Large deviation principle for a mixed fractional and jump diffusion process
- Compositional abstraction-based synthesis for continuous-time stochastic hybrid systems
- Title not available (Why is that?)
- Consuming durable goods when stock markets jump: a strategic asset allocation approach
- Stochastic control of drill-heads driven by Lévy processes
- A stochastic analysis for a triple delayed SIR epidemic model with vaccination incorporating Lévy noise
- Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market
- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
- Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market
- Finite horizon portfolio selection with durable goods
- Two differential games between rent-seeking politicians and capitalists: implications for economic growth
- Stochastic analysis of a two delayed epidemic model incorporating Lévy processes with a general non-linear transmission
- Worst-case investment and reinsurance optimization for an insurer under model uncertainty
- Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
- Applied stochastic control of jump diffusions
- Weakly chained matrices, policy iteration, and impulse control
- Periodic solutions of stochastic differential equations driven by Lévy noises
- Stochastic SIR Lévy jump model with heavy-tailed increments
- Media effects on the dynamics of a stochastic SIRI epidemic model with relapse and Lévy noise perturbation
- Nonzero-sum stochastic differential games between an impulse controller and a stopper
- Gas storage hedging
- Optimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion Process
- A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
- Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
- Optimal control of branching diffusion processes: a finite horizon problem
- Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
- Terminal invariance of jump diffusions
- Two-armed restless bandits with imperfect information: stochastic control and indexability
- Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
- A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity
- Stochastic analysis of COVID-19 by a SEIR model with Lévy noise
- Multiobjective control for nonlinear stochastic Poisson jump-diffusion systems via T-S fuzzy interpolation and Pareto optimal scheme
- An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes
- Optimal securitization of credit portfolios via impulse control
- Optimal dividend strategy under Parisian ruin with affine penalty
- Convolutional neural network based simulation and analysis for backward stochastic partial differential equations
- Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- Risk sensitive portfolio optimization in a jump diffusion model with regimes
- Reflected stochastic partial differential equations with jumps
- Finite Horizon Impulse control of Stochastic Functional Differential Equations
- A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
- Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
- A stochastic SIRS epidemic model incorporating media coverage and driven by Lévy noise
- Optimal investment and reinsurance strategies for an insurer with stochastic economic factor
- Optimal investment under information driven contagious distress
- Extension of the loss probability formula to an overloaded queue with impatient customers
- Qualitative analysis of a nonautonomous stochastic \(SIS\) epidemic model with Lévy jumps
- Exact simulation of the first passage time through a given level of jump diffusions
- Contingent claim pricing through a continuous time variational bargaining scheme
- Optimal harvesting for a logistic growth model with predation and a constant elasticity of variance
- Swing options valuation: a BSDE with constrained jumps approach
- Quasi-analytical solution of an investment problem with decreasing investment cost due to technological innovations
- Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities
- Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.
- Optimization of stochastic jump diffusion systems nonlinear in the control
- Lyapunov function partial differential equations for chemical reaction networks: some special cases
- Mean-variance portfolio selection for a non-life insurance company
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
- Risk measures for derivatives with Markov-modulated pure jump processes
- Small-time expansions for local jump-diffusion models with infinite jump activity
- Variational inequalities in stock loan models
- The truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise
- Stability in distribution of a stochastic hybrid competitive Lotka-Volterra model with Lévy jumps
- The stochastic goodwill problem
- Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
- Dynamic programming for a Markov-switching jump-diffusion
- Stock loan with automatic termination clause, cap and margin
- Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
- Stochastic differential delay equations with jumps, under nonlinear growth condition
- Applied stochastic control of jump diffusions
- Optimal portfolio in a regime-switching model
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
- Title not available (Why is that?)
- Dynamic mean-variance problem with constrained risk control for the insurers
- Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Optimal control of a multiclass queueing system when customers can change types
- Quantifying Model Uncertainties in Complex Systems
- Stochastic inequalities and applications to dynamics analysis of a novel SIVS epidemic model with jumps
- Permanence and extinction of a stochastic delay logistic model with jumps
- Stochastic transforms for jump diffusion processes combined with related backward stochastic differential equations
- Optimal investment and reinsurance of an insurer with model uncertainty
- Control improvement for jump-diffusion processes with applications to finance
- A continuous-time analysis of optimal restructuring of contracts with costly information disclosure
- Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
- Double optimal stopping times and dynamic pricing problem: description of the mathematical model
- Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process
- Filtering method for linear and non-linear stochastic optimal control of partially observable systems
- BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
- Stochastic control and mathematical modeling. Applications in economics.
- Stochastic averaging of quasi-partially integrable Hamiltonian systems under combined Gaussian and Poisson white noise excitations
- Efficient numerical methods for pricing American options under stochastic volatility
- Optimal oil-owner behavior in piecewise deterministic models
- Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
This page was built for publication: Applied stochastic control of jump diffusions.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q703133)
