Stochastic Minimum Principle for Partially Observed Systems Subject to Continuous and Jump Diffusion Processes and Driven by Relaxed Controls

N. U. Ahmed; Charalambos D. Charalambous

doi:10.1137/120885656

Stochastic Minimum Principle for Partially Observed Systems Subject to Continuous and Jump Diffusion Processes and Driven by Relaxed Controls

SIAM Journal on Control and Optimization ◽

10.1137/120885656 ◽

2013 ◽

Vol 51 (4) ◽

pp. 3235-3257 ◽

Cited By ~ 15

Author(s):

N. U. Ahmed ◽

Charalambos D. Charalambous

Keyword(s):

Diffusion Processes ◽

Minimum Principle ◽

Jump Diffusion ◽

Relaxed Controls ◽

Jump Diffusion Processes ◽

Partially Observed

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Erratum: Stochastic Minimum Principle for Partially Observed Systems Subject to Continuous and Jump Diffusion Processes and Driven by Relaxed Controls

SIAM Journal on Control and Optimization ◽

10.1137/16m1105189 ◽

2017 ◽

Vol 55 (2) ◽

pp. 1344-1345

Author(s):

N. U. Ahmed ◽

Charalambos D. Charalambous

Keyword(s):

Diffusion Processes ◽

Minimum Principle ◽

Jump Diffusion ◽

Relaxed Controls ◽

Jump Diffusion Processes ◽

Partially Observed

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On least-squares estimation for partially observed jump-diffusion processes

2016 American Control Conference (ACC) ◽

10.1109/acc.2016.7525329 ◽

2016 ◽

Author(s):

Seddik M. Djouadi ◽

Vasileios Maroulas ◽

Xiaoyang Pan ◽

Jie Xiong

Keyword(s):

Least Squares ◽

Diffusion Processes ◽

Jump Diffusion ◽

Least Squares Estimation ◽

Jump Diffusion Processes ◽

Partially Observed

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Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump–diffusion processes

Statistics & Probability Letters ◽

10.1016/j.spl.2016.11.017 ◽

2017 ◽

Vol 123 ◽

pp. 8-16 ◽

Cited By ~ 1

Author(s):

Seddik M. Djouadi ◽

Vasileios Maroulas ◽

Xiaoyang Pan ◽

Jie Xiong

Keyword(s):

Least Squares ◽

Diffusion Processes ◽

Jump Diffusion ◽

Least Squares Estimator ◽

Jump Diffusion Processes ◽

Partially Observed

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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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