Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields

DOI10.1080/17442500500213797zbMath1090.60057OpenAlexW2139986529MaRDI QIDQ5711149

Bernt Øksendal, Tu-Sheng Zhang, Frank Norbert Proske

Publication date: 9 December 2005

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://eprints.maths.manchester.ac.uk/204/1/psrr12-2005.pdf

zbMATH Keywords

Lévy process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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Cites Work

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• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
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• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• Stochastic partial differential equations and filtering of diffusion processes
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance

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