Pages that link to "Item:Q5898769"
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The following pages link to Applied stochastic control of jump diffusions (Q5898769):
Displaying 50 items.
- An optimal trading problem in intraday electricity markets (Q253117) (← links)
- A stochastic maximum principle with dissipativity conditions (Q255511) (← links)
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach (Q262012) (← links)
- Malliavin calculus and optimal control of stochastic Volterra equations (Q262021) (← links)
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272) (← links)
- Drift perturbation of subordinate Brownian motions with Gaussian component (Q283046) (← links)
- A jump model for fads in asset prices under asymmetric information (Q299877) (← links)
- A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models (Q313647) (← links)
- Sustainable management of fossil fuels: a dynamic stochastic optimization approach with jump-diffusion (Q323525) (← links)
- Minimizing the probability of lifetime drawdown under constant consumption (Q343998) (← links)
- Integro-PDE in Hilbert spaces: existence of viscosity solutions (Q345036) (← links)
- Nonzero-sum stochastic differential game between controller and stopper for jump diffusions (Q370194) (← links)
- A stochastic maximum principle in mean-field optimal control problems for jump diffusions (Q375182) (← links)
- The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem (Q392462) (← links)
- Optimal harvesting for a logistic population dynamics driven by a Lévy process (Q398661) (← links)
- Gas storage valuation applying numerically constructed recombining trees (Q421730) (← links)
- Optimal stochastic control, stochastic target problems, and backward SDE. (Q424646) (← links)
- Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach (Q428104) (← links)
- A general optimality conditions for stochastic control problems of jump diffusions (Q434355) (← links)
- A tutorial on the deterministic impulse control maximum principle: necessary and sufficient optimality conditions (Q439605) (← links)
- Symmetric equilibrium strategies in game theoretic real option models (Q451058) (← links)
- Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance (Q458848) (← links)
- On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance. (Q464722) (← links)
- Risk minimization in financial markets modeled by Itô-Lévy processes (Q497032) (← links)
- Generalized semiconcavity of the value function of a jump diffusion optimal control problem (Q497405) (← links)
- Entry-exit decisions with underlying processes following geometric Lévy processes (Q511983) (← links)
- Abel-type results for controlled piecewise deterministic Markov processes (Q513387) (← links)
- Dynamic robust duality in utility maximization (Q519879) (← links)
- On tamed Milstein schemes of SDEs driven by Lévy noise (Q524004) (← links)
- An eigenvalue problem for a fully nonlinear elliptic equation with gradient constraint (Q526938) (← links)
- Optimal stopping of stochastic differential equations with delay driven by Lévy noise (Q623473) (← links)
- Optimal financing and dividend control in the dual model (Q636479) (← links)
- Competitive Lotka-Volterra population dynamics with jumps (Q640191) (← links)
- Near optimality conditions in stochastic control of jump diffusion processes (Q647642) (← links)
- On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem (Q691358) (← links)
- Optimality conditions for partial information stochastic control problems driven by Lévy processes (Q694793) (← links)
- Optimal controls for fractional stochastic functional differential equations of order \(\alpha \in (1, 2]\) (Q723630) (← links)
- Two-sided estimates for the transition densities of symmetric Markov processes dominated by stable-like processes in \(C^{1, \eta}\) open sets (Q740195) (← links)
- A mixed linear quadratic optimal control problem with a controlled time horizon (Q741141) (← links)
- A benchmark approach to risk-minimization under partial information (Q743152) (← links)
- A Donsker delta functional approach to optimal insider control and applications to finance (Q746170) (← links)
- A finite horizon optimal switching problem with memory and application to controlled SDDEs (Q784786) (← links)
- Stochastic impulse control problem with state and time dependent cost functions (Q829001) (← links)
- Optimal double stopping time problem (Q847103) (← links)
- On the LP formulation in measure spaces of optimal control problems for jump-diffusions (Q888805) (← links)
- A note on optimal investment-consumption-insurance in a Lévy market (Q896739) (← links)
- On the smoothness of value functions and the existence of optimal strategies in diffusion models (Q900609) (← links)
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients (Q930670) (← links)
- Continuous-time Markov decision processes with \(n\)th-bias optimality criteria (Q963964) (← links)
- Backward SDEs with constrained jumps and quasi-variational inequalities (Q964784) (← links)
