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
- A stochastic vaccinated epidemic model incorporating Lévy processes with a general awareness-induced incidence
- Threshold of a stochastic SIR epidemic model with Lévy jumps
- The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps
- Threshold behavior of a stochastic SIS model with Lévy jumps
- A unified treatment of dividend payment problems under fixed cost and implementation delays
- Practical exponential stability of stochastic age-dependent capital system with Lévy noise
- Approximation for portfolio optimization in a financial market with shot-noise jumps
- Indifference pricing of insurance-linked securities in a multi-period model
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
- Mean-Field Game Strategies for Optimal Execution
- The impact of random noise on the dynamics of COVID-19 epidemic model
- Optimal portfolio choice for an insurer with loss aversion
- Robustness of stable volatility strategies
- Foreign exchange options on Heston-CIR model under Lévy process framework
- A general verification result for stochastic impulse control problems
- Asymptotics for $$d$$ -Dimensional Lévy-Type Processes
- Value function regularity in option pricing problems under a pure jump model
- Portfolio optimization for a large investor controlling market sentiment under partial information
- The effects of implementation delay on decision-making under uncertainty
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
- A multi-stage financial hedging approach for the procurement of manufacturing materials
- Impulse output rapid stabilization for heat equations
- Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
- Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
- Infinite horizon stopping problems with (nearly) total reward criteria
- Optimal expulsion and optimal confinement of a Brownian particle with a switching cost
- Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
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- Inverse optimal control of stochastic systems driven by Lévy processes
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- Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments
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- OPTIMAL ORDERING POLICIES WITH STOCHASTIC DEMAND AND PRICE PROCESSES
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- Large deviation estimates for some nonlocal equations. General bounds and applications
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- On a problem of optimal stopping in mathematical finance
- Monotone systems involving variable-order nonlocal operators
- Robust optimal R\&D investment under technical uncertainty in a regime-switching environment
- Equilibrium strategies for time-inconsistent stochastic switching systems
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Optimal payout policy in presence of downside risk
- DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
- Pricing approximations and error estimates for local Lévy-type models with default
- Quantifying model uncertainty in dynamical systems driven by non-Gaussian Lévy stable noise with observations on mean exit time or escape probability
- A computational analysis for mean exit time under non-Gaussian Lévy noises
- Jump-diffusion models with constant parameters for financial log-return processes
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- 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
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- 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
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- Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
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- Weakly chained matrices, policy iteration, and impulse control
- Periodic solutions of stochastic differential equations driven by Lévy noises
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- Optimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion Process
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- 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
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- An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes
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