Diffusive Limit Approximation of Pure-Jump Optimal Stochastic Control Problems

Author:

Abeille Marc,Bouchard BrunoORCID,Croissant LorenzoORCID

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Reference25 articles.

1. Andrews, B.: Fully nonlinear parabolic equations in two space variables (2004). arXiv:math/0402235

2. Barles, G.: An Introduction to the Theory of Viscosity Solutions for First-Order Hamilton-Jacobi Equations and Applications, in Hamilton-Jacobi Equations: Approximations. Numerical Analysis and Applications. Springer, New York (2013)

3. Bäuerle, N.: Approximation of optimal reinsurance and dividend payout policies. Math. Financ.: Int. J. Math., Stat. Financ. Econ. 14(1), 99–113 (2004)

4. Bertsekas, D.P., Shreve, S.E.: Stochastic Optimal Control: The Discrete-Time Case. Academic Press, New York (1978)

5. Blum, A., Kumar, V., Rudra, A., Wu, F.: Online learning in online auctions. Theor. Computer Sci. 324(2–3), 137–146 (2004)

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