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

martingalestopping timestochastic controlvalue process

Mathematics Subject Classification ID

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

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