Stochastic control for diffusions with self-exciting jumps: an overview

DOI10.3934/MCRF.2024038MaRDI QIDQ7027596zbMATH OpenFDO

Authors Alain Bensoussan, Benoît Chevalier-Roignant

Publication date 14 February 2025

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/MCRF.2024038

zbMATH Keywords

diffusions with self-exciting jumpsHamilton-Jacobi-Bellman (HJB) equationstochastic control theory

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Optimality conditions for problems involving randomness (49K45) Hamilton-Jacobi equations in optimal control and differential games (49L12) Jump processes on discrete state spaces (60J74) Optimal stochastic control (93E20)

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Cited in

(1)

• Optimal dividend and capital injection under self-exciting claims

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