Article1984

On singular stochastic control problems for diffusion with jumps

30 citations0/0 files storedIEEE Transactions on Automatic Control

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

We consider some cases of control problems for diffusion processes with jumps when the payoff functional does not depend explicitly on the control. We prove the continuity of the optimal cost with a quasi-variational inequality interpreting the problems as the limit of an impulse control problem when the cost of impulse tends to zero. Moreover, we show the existence of an optimal control for some particular situations.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 30 citations exist upstream.

References

1980Controlled Diffusion Processes 1972Stochastic Differential Equations 1980Some solvable stochastic control problemst†2006A class of singular stochastic control problems 1983A class of singular stochastic control problems 1981The monotone follower problem in stochastic decision theory 1983On Some Cheap Control Problems for Diffusion Processes 1976On a Non-Linear Semi-Group Attached to Stochastic Optimal Control

Cited by

1992Singular ergodic control for multidimensional Gaussian processes 1987A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.