Jump-diffusions with controlled jumps: Existence and numerical methods
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Publication:1584635
DOI10.1006/jmaa.2000.6936zbMath0973.93059OpenAlexW1988047778MaRDI QIDQ1584635
Publication date: 29 November 2001
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jmaa.2000.6936
optimal control problemweak convergence methodsrelaxed controlscontrolled driftcontrolled jumpsreflected jump-diffusion modelrelaxed Poisson measure
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Related Items (6)
A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ The relaxed stochastic maximum principle in singular optimal control of jump diffusions ⋮ Optimal insurance in a continuous-time model ⋮ Risk-sensitive control for a class of diffusions with jumps ⋮ Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models ⋮ Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
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