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)
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- Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
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- The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps
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- Practical exponential stability of stochastic age-dependent capital system with Lévy noise
- Approximation for portfolio optimization in a financial market with shot-noise jumps
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