Jump-Diffusions with Controlled Jumps: Existence and Numerical Methods
Copyright policy )Jump-Diffusions with Controlled Jumps: Existence and Numerical Methods
An optimal control problem for a reflected jump-diffusion model with controlled drift and jump terms is considered. The analysis is based on weak convergence methods using relaxed controls and introducing a concept of relaxed Poisson measure. This enables to prove the existence of optimal relaxed controls and to apply modifications of numerical algorithms, developed by the author in earlier work, for computing the value function and suboptimal ordinary controls.
- Brown University United States
Computational methods in stochastic control, controlled drift, Applied Mathematics, controlled jumps, Numerical methods of relaxation type, Existence of optimal solutions to problems involving randomness, weak convergence methods, optimal control problem, relaxed controls, Optimal stochastic control, reflected jump-diffusion model, relaxed Poisson measure, Analysis
Computational methods in stochastic control, controlled drift, Applied Mathematics, controlled jumps, Numerical methods of relaxation type, Existence of optimal solutions to problems involving randomness, weak convergence methods, optimal control problem, relaxed controls, Optimal stochastic control, reflected jump-diffusion model, relaxed Poisson measure, Analysis
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