Optimal control problem associated with jump processes

Applied Mathematics and Optimization

Volumn 50, Issue 1, 2004, Pages 21-65

  Ishikawa, Yasushi ^a  

^a EHIME UNIVERSITY   (Japan)

Author keywords

Mathematical finance; Stochastic control of jump type; Viscosity solution of PDE

Indexed keywords

FINANCE; GAUSSIAN NOISE (ELECTRONIC); INTEGRODIFFERENTIAL EQUATIONS; MATHEMATICAL MODELS; PARTIAL DIFFERENTIAL EQUATIONS; PROBLEM SOLVING; RANDOM PROCESSES; VISCOSITY;

BELLMAN PRINCIPLE; MATHEMATICAL FINANCE; STOCHASTIC CONTROL OF JUMP TYPE; VISCOSITY SOLUTION OF PDE;

STOCHASTIC CONTROL SYSTEMS;

EID: 21044447256     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00245-004-0795-9     Document Type: Article

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