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Invariant Measure for Diffusions with Jumps
4 references·1 citing·22 second hop
Invariant Measure for Diffusions with Jumps (1999)Invariant Measure for Diffusions with Jum…Stochastic Differential Equations (2006)Stochastic Differential Equat…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Optimal impulse control problems for degenerate diffusions with jumps (1987)Optimal impulse control probl…Long-term average cost control problems for continuous time Markov processes: A survey (1983)Long-term average cost contro…On the Impulse Control of Jump Diffusions (2013)On the Impulse Control of Jum…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)On the Optimal Impulse Control Problem for Degenerate Diffusions (1980)Stochastic differential equations with jumps (2004)Impulse Control of Multidimensional Jump Diffusions (2010)Zero-Sum Stochastic Differential Game in Finite Horizon Involving Impulse Controls (2018)Optimal control of service in tandem queues (1982)Stochastic Control by Functional Analysis Methods (1982)Quasi-Variational Inequalities and Ergodic Impulse Control (1986)Ergodic Control of Multidimensional Diffusions I: The Existence Results (1988)Time-to-build and capacity choice (2002)A class of singular stochastic control problems (2006)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic differential equations and their applications (1997)Impulse Control of Multidimensional Jump Diffusions in Finite Time Horizon (2013)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)
this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 2006Stochastic Differential Equations1,269 cited
  • 1983Long-term average cost control problems for continuous time Markov processes: A survey73 cited
  • 1987Optimal impulse control problems for degenerate diffusions with jumps24 cited

Cited by

  • 2013On the Impulse Control of Jump Diffusions23 cited

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