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

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.

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Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1976
Accession Number
ADA034911

Entities

People

  • Giovanni Dimasi
  • Harold J. Kushner

Organizations

  • Brown University

Tags

DTIC Thesaurus Topics

  • Differential Equations
  • Diffusion
  • Equations
  • Integral Equations
  • Integrals

Fields of Study

  • Mathematics

Readers

  • Linear Algebra
  • Mathematical Modeling and Probability Theory.