Accession Number:

ADA034911

Title:

Approximations for Functionals and Optimal Control Problems on Jump Diffusion Processes.

Descriptive Note:

Technical rept.,

Corporate Author:

BROWN UNIV PROVIDENCE R I LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS

Personal Author(s):

Report Date:

1976-11-01

Pagination or Media Count:

60.0

Abstract:

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE