✦ LIBER ✦

A stochastic maximum principle for systems with jumps, with applications to finance

✍ Scribed by Abel Cadenillas

Publisher: Elsevier Science
Year: 2002
Tongue: English
Weight: 178 KB
Volume: 47
Category: Article
ISSN: 0167-6911
DOI: 10.1016/s0167-6911(02)00231-1

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Maximum principle for the stochastic opt

Maximum principle for the stochastic optimal control problem with delay and application

✍ Li Chen; Zhen Wu 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 421 KB

A second-order maximum principle for dis

A second-order maximum principle for discrete-time bilinear control systems with applications to discrete-time linear switched systems

✍ Tal Monovich; Michael Margaliot 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 363 KB

A maximum principle à la Hadamard for bi

A maximum principle à la Hadamard for biharmonic operators with applications to the Bergman spaces

✍ Hkan Hedenmalm; Stefan Jakobsson; Sergei Shimorin 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 426 KB

Stochastic stability for Markovian jump

Stochastic stability for Markovian jump linear systems associated with a finite number of jump times

✍ João B.R. do Val; Cristiane Nespoli; Yusef R.Z. Cáceres 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 143 KB

This paper deals with a stochastic stability concept for discrete-time Markovian jump linear systems. The random jump parameter is associated to changes between the system operation modes due to failures or repairs, which can be well described by an underlying finite-state Markov chain. In the model

A model for stochastic hybrid systems wi

A model for stochastic hybrid systems with application to communication networks

✍ João P. Hespanha 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 482 KB

A stochastic petri net with applications

A stochastic petri net with applications to modelling occupancy times for concurrent task systems

✍ Stephen D. Shapiro 📂 Article 📅 1979 🏛 John Wiley and Sons 🌐 English ⚖ 199 KB