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An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes - MaRDI portal

An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes (Q3506297)

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An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes
scientific article

    Statements

    title
    An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes (English)
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    author
    Jonathan Bennett
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    Jiang-Lun Wu
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    publication date
    12 June 2008
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    zbMATH Keywords
    stochastic differential equations
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    optimal control problems
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    Lévy processes
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    jumps
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    viscosity solution
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    Lévy generators
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    financial market models
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    Hamilton-Jacobi-Bellman equation
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    Identifiers

    Mathematics Subject Classification ID
    60H10
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    60H30
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    60J75
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    49L25
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    93E20
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    zbMATH DE Number
    5288122
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    OpenAlex ID
    W1972939169
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