Approximations for Functionals and Optimal Control Problems on Jump Diffusion Processes.
BROWN UNIV PROVIDENCE R I LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS
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The paper treats approximations to stochastic differential equations with both a diffusion and a jump component, and to associated functionals and partial-differential-integral equations of the degenerate or not elliptic or parabolic type. Approximations for the optimal control problem on such a model, or for the associated non-linear partial-differential-integral equation, are discussed. The techniques are purely probabilistic and are extensions of those in another paper by the first author, which dealt with the diffusion case.
- Statistics and Probability