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Diffusive limit approximation of pure-jump optimal stochastic control problems - MaRDI portal

Diffusive limit approximation of pure-jump optimal stochastic control problems

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Publication:6371138

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DOI10.1007/S10957-022-02135-7zbMath1518.93150arXiv2106.12848MaRDI QIDQ6371138

Bruno Bouchard, Lorenzo Croissant, Marc Abeille

Publication date: 24 June 2021

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)

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