On the Impulse Control of Jump Diffusions

Impulse Control of Multidimensional Jump

Impulse Control of Multidimensional Jump Diffusions

✍ Davis, Mark H. A.; Guo, Xin; Wu, Guoliang 📂 Article 📅 2010 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 254 KB

Applied stochastic control of jump diffu

Applied stochastic control of jump diffusions

✍ Bernt Øksendal, Agnès Sulem 📂 Library 📅 2007 🏛 Springer 🌐 English ⚖ 1 MB

The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic con

Applied Stochastic Control of Jump Diffu

Applied Stochastic Control of Jump Diffusions

✍ Bernt Øksendal, Agnès Sulem, Bernt Oksendal, Agnes Sulem 📂 Library 📅 2005 🏛 Springer 🌐 English ⚖ 2 MB

The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic con

On a generalization of the impulsive con

On a generalization of the impulsive control concept: Controlling system jumps

✍ Arutyunov, Aram; Karamzin, Dmitry; Pereira, Fernando 📂 Article 📅 2011 🏛 American Institute of Mathematical Sciences 🌐 English ⚖ 381 KB

On singular stochastic control and optim

On singular stochastic control and optimal stopping of spectrally negative jump diffusions

✍ Alvarez, Luis H.R.; Rakkolainen, Teppo A. 📂 Article 📅 2009 🏛 Taylor and Francis Group 🌐 English ⚖ 245 KB

Multicriteria impulsive control of jump

Multicriteria impulsive control of jump Markov processes

✍ A. B. Piunovskiy 📂 Article 📅 2004 🏛 Springer 🌐 English ⚖ 309 KB