Diffusive limit approximation of pure-jump optimal stochastic control problems

DOI10.1007/s10957-022-02135-7OpenAlexW3173668763MaRDI QIDQ2679562

Marc Abeille, Lorenzo Croissant, Bruno Bouchard

Publication date: 23 January 2023

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.12848

zbMATH Keywords

stochastic optimal controldiffusive limitonline auctions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26) Jump processes on discrete state spaces (60J74)

Cites Work

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