Floyd B. Hanson: Applied Stochastic Processes and Control for Jump-Diffusions

被引：0

作者：

Masoliver, Jaume ^{[1
]}

机构：

[1] Univ Barcelona, Dept Fis Fonamental, Barcelona, Spain

来源：

JOURNAL OF STATISTICAL PHYSICS | 2009年 / 134卷 / 01期

关键词：

D O I：

10.1007/s10955-008-9669-x

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

引用

页码：207 / 207

页数：1

共 50 条

[41] Bernt Øksendal and Agnès Sulem (2005) applied stochastic control of jump diffusions ISBN 3-540-14023-9, Springer Berlin
Gerhard-Wilhelm Weber
Mathematical Methods of Operations Research, 2005, 62 (2) : 345 - 346
[42] Stochastic Control Methods: Hedging in a Market Described by Pure Jump Processes
Gerardi, Anna
Tardelli, Paola
ACTA APPLICANDAE MATHEMATICAE, 2010, 111 (03) : 233 - 255
[43] Stochastic Control Methods: Hedging in a Market Described by Pure Jump Processes
Anna Gerardi
Paola Tardelli
Acta Applicandae Mathematicae, 2010, 111 : 233 - 255
[44] STOCHASTIC FOKKER-PLANCK EQUATIONS FOR CONDITIONAL MCKEAN-VLASOV JUMP DIFFUSIONS AND APPLICATIONS TO OPTIMAL CONTROL
Agram, Nacira
Oksendal, Bernt
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2023, 61 (03) : 1472 - 1493
[45] Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
Shi, Jingtao
OPTIMAL CONTROL APPLICATIONS & METHODS, 2014, 35 (01): : 61 - 76
[46] Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance (vol 121, pg 94, 2004)
Framstad, NC
Oksendal, B
Sulem, A
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2005, 124 (02) : 511 - 512
[47] Some Extensions of a B. Sz.-Nagy Type Theorem with Application in the Stochastic Processes
Binzar, Tudor
Pater, Flavius
Lemle, Ludovic Dan
NUMERICAL ANALYSIS AND APPLIED MATHEMATICS, VOLS 1 AND 2, 2009, 1168 : 201 - +
[48] Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation*
Calvia, Alessandro
ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2020, 26
[49] Stochastic model predictive control based on Gaussian processes applied to drinking water networks
Wang, Ye
Ocampo-Martinez, Carlos
Puig, Vicenc
IET CONTROL THEORY AND APPLICATIONS, 2016, 10 (08): : 947 - 955
[50] On Peng's type maximum principle for optimal control of mean-field stochastic differential equations with jump processes
Meherrem, Shahlar
Hafayed, Mokhtar
Abbas, Syed
INTERNATIONAL JOURNAL OF MODELLING IDENTIFICATION AND CONTROL, 2019, 31 (03) : 245 - 258

← 1 2 3 4 5 →