MIMICKING FINITE DIMENSIONAL MARGINALS OF A CONTROLLED DIFFUSION WITH JUMPS

DOI10.1142/S0219493713500111zbMath1296.60225MaRDI QIDQ5414168

Youssef Ouknine, Siham Bouhadou

Publication date: 2 May 2014

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

controlled diffusionmarginal distributionscost criterionjump procesmimicking theorem

Mathematics Subject Classification ID

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Cites Work

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• Looking for martingales associated to a self-decomposable law
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• A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion
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• Mimicking finite dimensional marginals of a controlled diffusion by simpler controls
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• A remark on the attainable distributions of controlled diffusions
• Existence of Markov Controls and Characterization of Optimal Markov Controls
• RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES

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