Impulse control of a diffusion with a change point
DOI10.1080/17442508.2014.956458zbMath1339.60113arXiv1404.1761OpenAlexW2147419107MaRDI QIDQ5265791
Lokman A. Abbas-Turki, Qing-Hua Li, Ioannis Karatzas
Publication date: 29 July 2015
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.1761
diffusionchange of measureimpulse controlchange pointLongstaff-Schwartz algorithmBayes sequential optimizationmultiple optimal stopping times
Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25) Unilateral problems for parabolic systems and systems of variational inequalities with parabolic operators (35K87)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Variational inequalities and the pricing of American options
- Martingale approach to stochastic differential games of control and stopping
- On some recent aspects of stochastic control and their applications
- Continuous-time stochastic control and optimization with financial applications
- Transformation of local martingales under a change of law
- Nouvelles méthodes en contrôle impulsionnel
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- On the Malliavin approach to Monte Carlo approximation of conditional expectations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Trend Following Trading under a Regime Switching Model
- American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- On the Existence of Optimal Policies in Stochastic Control
- Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
This page was built for publication: Impulse control of a diffusion with a change point
