Stochastic Control for Jump Diffusions

Stochastic Modeling and Control ◽

10.5772/45719 ◽

2012 ◽

Author(s):

Jingtao Shi

Keyword(s):

Stochastic Control ◽

Jump Diffusions

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Bernt Øksendal and Agnès Sulem (2005) applied stochastic control of jump diffusions ISBN 3-540-14023-9, Springer Berlin

Mathematical Methods of Operations Research ◽

10.1007/s00186-005-0017-5 ◽

2005 ◽

Vol 62 (2) ◽

pp. 345-346

Author(s):

Gerhard-Wilhelm Weber

Keyword(s):

Stochastic Control ◽

Jump Diffusions

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Applied Stochastic Control of Jump Diffusions

10.1007/978-3-540-69826-5 ◽

2007 ◽

Cited By ~ 301

Author(s):

Bernt Øksendal ◽

Agnès Sulem

Keyword(s):

Stochastic Control ◽

Jump Diffusions

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Applied Stochastic Control of Jump Diffusions

10.1007/b137590 ◽

2005 ◽

Cited By ~ 3

Keyword(s):

Stochastic Control ◽

Jump Diffusions

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Optimal stopping and stochastic control differential games for jump diffusions

Stochastics ◽

10.1080/17442508.2011.652116 ◽

2012 ◽

Vol 85 (1) ◽

pp. 85-97 ◽

Cited By ~ 2

Author(s):

Fouzia Baghery ◽

Sven Haadem ◽

Bernt Øksendal ◽

Isabelle Turpin

Keyword(s):

Differential Games ◽

Stochastic Control ◽

Optimal Stopping ◽

Jump Diffusions

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BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions

Electronic Journal of Probability ◽

10.1214/19-ejp333 ◽

2019 ◽

Vol 24 (0) ◽

Cited By ~ 1

Author(s):

Elena Bandini ◽

Fulvia Confortola ◽

Andrea Cosso

Keyword(s):

Dynamic Programming ◽

Stochastic Control ◽

Dynamic Programming Principle ◽

Control Problems ◽

Jump Diffusions ◽

Stochastic Control Problems ◽

Infinite Dimensional

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Stochastic Control of Jump Diffusions

Applied Stochastic Control of Jump Diffusions ◽

10.1007/978-3-540-69826-5_3 ◽

2007 ◽

pp. 45-63

Keyword(s):

Stochastic Control ◽

Jump Diffusions

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Combined Optimal Stopping and Stochastic Control of Jump Diffusions

Applied Stochastic Control of Jump Diffusions - Universitext ◽

10.1007/978-3-030-02781-0_7 ◽

2019 ◽

pp. 211-223

Author(s):

Bernt Øksendal ◽

Agnès Sulem

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Jump Diffusions

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Combined Stochastic Control and Impulse Control of Jump Diffusions

Applied Stochastic Control of Jump Diffusions - Universitext ◽

10.1007/3-540-26441-8_8 ◽

2005 ◽

pp. 113-122

Keyword(s):

Stochastic Control ◽

Impulse Control ◽

Jump Diffusions

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A General Optimality Conditions for Stochastic Control Problems of Jump Diffusions

Applied Mathematics & Optimization ◽

10.1007/s00245-011-9143-z ◽

2011 ◽

Vol 65 (1) ◽

pp. 15-29 ◽

Cited By ~ 6

Author(s):

Seid Bahlali ◽

Adel Chala

Keyword(s):

Optimality Conditions ◽

Stochastic Control ◽

Control Problems ◽

Jump Diffusions ◽

Stochastic Control Problems

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Combined Optimal Stopping and Stochastic Control of Jump Diffusions

Applied Stochastic Control of Jump Diffusions ◽

10.1007/978-3-540-69826-5_4 ◽

2007 ◽

pp. 65-76

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Jump Diffusions

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