Stochastic control problem with stopping time under jump-diffusion model

MaRDI QIDQ2923768zbMATH OpenFDO

Authors Limin Liu, Qingxian Xiao

Publication date 3 November 2014

Published in Journal of Henan Normal University. Natural Science (Search for Journal in Brave)

zbMATH Keywords

martingalestochastic controlstopping timevalue process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Stochastic systems in control theory (general) (93E03)

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