Stochastic optimal control for nonlinear markov jump diffusion processes

2012 American Control Conference (ACC) ◽

10.1109/acc.2012.6315408 ◽

2012 ◽

Cited By ~ 3

Author(s):

E. A. Theodorou ◽

E. Todorov

Keyword(s):

Optimal Control ◽

Stochastic Optimal Control ◽

Diffusion Processes ◽

Jump Diffusion ◽

Markov Jump ◽

Jump Diffusion Processes

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Optimal control of partially observable jump diffusion processes

International Journal of Systems Science ◽

10.1080/00207728008967016 ◽

1980 ◽

Vol 11 (3) ◽

pp. 323-335 ◽

Cited By ~ 2

Author(s):

M. FRIEDMAN ◽

Y. YAVIN

Keyword(s):

Optimal Control ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Partially Observable

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Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes

The Journal of Analysis ◽

10.1007/s41478-018-0098-1 ◽

2018 ◽

Vol 27 (2) ◽

pp. 623-641 ◽

Cited By ~ 1

Author(s):

R. Deepa ◽

P. Muthukumar

Keyword(s):

Optimal Control ◽

Diffusion Processes ◽

Infinite Horizon ◽

Mean Field ◽

Jump Diffusion ◽

Delay System ◽

Jump Diffusion Processes ◽

Markov Modulated

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Approximations for functionals and optimal control problems on jump diffusion processes

Journal of Mathematical Analysis and Applications ◽

10.1016/0022-247x(78)90072-0 ◽

1978 ◽

Vol 63 (3) ◽

pp. 772-800 ◽

Cited By ~ 35

Author(s):

Harold J Kushner ◽

Giovanni DiMasi

Keyword(s):

Optimal Control ◽

Optimal Control Problems ◽

Diffusion Processes ◽

Jump Diffusion ◽

Control Problems ◽

Jump Diffusion Processes

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Real Options Under Jump Diffusion Processes: What Types of Jumps?

SSRN Electronic Journal ◽

10.2139/ssrn.1361576 ◽

2009 ◽

Author(s):

Xianfeng Jiang ◽

Yongdong Shi ◽

George J. Jiang

Keyword(s):

Real Options ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Perpetual American Put with Spectrally Negative Jump - Uniform & Binomial Jump Diffusion Processes

SSRN Electronic Journal ◽

10.2139/ssrn.2543719 ◽

2014 ◽

Author(s):

Binh Thanh Dao ◽

Monique Jeanblanc ◽

Nadine Bellamy

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

American Put ◽

Negative Jump

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Estimation of Jump-Diffusion Processes via Empirical Characteristic Functions

SSRN Electronic Journal ◽

10.2139/ssrn.675202 ◽

2005 ◽

Cited By ~ 5

Author(s):

Michael Rockinger ◽

Maria Semenova

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Characteristic Functions ◽

Jump Diffusion Processes

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Pricing American Options on Jump-Diffusion Processes Using Fourier Hermite Series Expansions

SSRN Electronic Journal ◽

10.2139/ssrn.893090 ◽

2005 ◽

Cited By ~ 5

Author(s):

Carl Chiarella ◽

Andrew Ziogas

Keyword(s):

Diffusion Processes ◽

American Options ◽

Jump Diffusion ◽

Series Expansions ◽

Jump Diffusion Processes ◽

Hermite Series

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Jump diffusion processes and their applications in insurance and finance

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2006.09.006 ◽

2007 ◽

Vol 41 (1) ◽

pp. 62-70 ◽

Cited By ~ 19

Author(s):

Jiwook Jang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Capacity expansion with exponential jump diffusion processes

Stochastics and Stochastics Reports ◽

10.1080/1045112031000155696 ◽

2003 ◽

Vol 75 (4) ◽

pp. 259-274 ◽

Cited By ~ 13

Author(s):

Hui Wang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Capacity Expansion ◽

Jump Diffusion Processes

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Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy

Quantitative Finance ◽

10.1080/14697688.2015.1090623 ◽

2016 ◽

Vol 16 (7) ◽

pp. 1129-1145 ◽

Cited By ~ 6

Author(s):

Huawei Niu ◽

Dingcheng Wang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Vulnerable Options

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