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Jump-Diffusions with Controlled Jumps: Existence and Numerical Methods · Study

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ArticleJump-Diffusions with Controlled Jumps: Existence and Numerical Methods

Harold J. Kushner2000

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Articlebronze2000

Jump-Diffusions with Controlled Jumps: Existence and Numerical Methods

Harold J. Kushner

17 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Optimization and Variational Analysis

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References

1983Stochastic Differential Equations and Diffusion Processes 1990Numerical Methods for Stochastic Control Problems in Continuous Time 2006Stochastic Differential Equations 1981Stochastic Differential Equations and Diffusion Processes 1992Numerical Methods for Stochastic Control Problems in Continuous Time 1984Open Queueing Networks in Heavy Traffic 2002Introduction to the Theory of Random Processes 1999Stochastic Analysis, Control, Optimization and Applications

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2007Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation

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Year2000

Typearticle

Published2000-09-01

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1006/jmaa.2000.6936

openalex_workW1988047778

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