Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
DOI10.1007/S00245-019-09591-0zbMath1514.65102arXiv1803.03794MaRDI QIDQ6298873
Christoph Reisinger, Roxana Dumitrescu, zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Publication date: 10 March 2018
Feedback control (93B52) Variational methods applied to PDEs (35A15) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Financial applications of other theories (91G80) Parallel numerical computation (65Y05) Optimal stopping in statistics (62L15) Viscosity solutions to PDEs (35D40) Inequalities applied to PDEs involving derivatives, differential and integral operators, or integrals (35A23) Jump processes on discrete state spaces (60J74)
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