Applied stochastic control of jump diffusions.
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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)
- 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
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
- The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
- Precautionary measures for credit risk management in jump models
- Technological advances and the decision to invest
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Operational risk management: a stochastic control framework with preventive and corrective controls
- Optimal impulse control problems for degenerate diffusions with jumps
- MDP algorithms for portfolio optimization problems in pure jump markets
- A policy iteration algorithm for fixed point problems with nonexpansive operators
- The Kolmogorov-Obukhov-She-Leveque scaling in turbulence
- A remark on the definitions of viscosity solutions for the integro-differential equations with Lévy operators
- Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan
- Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps
- Optimal investment under transaction costs for an insurer
- Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
- The role of the risk-neutral jump size distribution in single-factor interest rate models
- Filtering method for linear and non-linear stochastic optimal control of partially observable systems. II
- Pricing Asset Scheduling Flexibility using Optimal Switching
- On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
- Nonlinear stochastic integrals for hyperfinite Lévy processes
- The Kolmogorov-Obukhov statistical theory of turbulence
- BSDEs with logarithmic growth driven by Brownian motion and Poisson random measure and connection to stochastic control problem
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
- Numerical simulations and modeling for stochastic biological systems with jumps
- Electricity futures price modeling with Lévy term structure models
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
- Poincaré inequality on the path space of Poisson point processes
- Optimal stopping and stochastic control differential games for jump diffusions
- Optimal impulse control for a multidimensional cash management system with generalized cost functions
- Management of a pension fund under mortality and financial risks
- Impulse control problem on finite horizon with execution delay
- On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time
- Optimal investment, consumption-leisure, insurance and retirement choice
- Portfolio optimization in a defaultable Lévy-driven market model
- Stochastic averaging of quasi-integrable and non-resonant Hamiltonian systems under combined Gaussian and Poisson white noise excitations
- Contraction options and optimal multiple-stopping in spectrally negative Lévy models
- Dynamic programming for mean-field type control
- A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
- 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
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