On Mean-Field Stochastic Maximum Principle for Near-Optimal Controls for Poisson Jump Diffusion With Applications

International Journal of Dynamics and Control - Switzerland
doi 10.1007/s40435-013-0040-y
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Springer Science and Business Media LLC

Related search

A Mean-Field Stochastic Maximum Principle for Optimal Control of Forward-Backward Stochastic Differential Equations With Jumps via Malliavin Calculus

Journal of Applied Mathematics and Physics
2018English

A Maximum Principle for Mean-Field SDEs With Time Change

Applied Mathematics and Optimization
ControlApplied MathematicsOptimization
2017English

Maximum Principle for Near-Optimality of Stochastic Delay Control Problem

Advances in Difference Equations
Applied MathematicsNumber TheoryAnalysisAlgebra
2017English

Stochastic Maximum Principle for Hilbert Space Valued Forward-Backward Doubly SDEs With Poisson Jumps

IFIP Advances in Information and Communication Technology
Computer NetworksInformation SystemsManagementCommunications
2014English

Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls

Abstract and Applied Analysis
Applied MathematicsAnalysis
2014English

Stochastic Volatility Jump-Diffusion Model for Option Pricing

Journal of Mathematical Finance
2011English

On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes

Journal of Applied Probability
MathematicsStatisticsUncertaintyProbability
2012English

On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes

Journal of Applied Probability
MathematicsStatisticsUncertaintyProbability
2012English

Optimal Impulse Control for Cash Management With Double Exponential Jump Diffusion Processes

International Journal of Real Options and Strategy
2018English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy