Analysis of Jump Processes and Its Application to Optimal Control

Yasushi Ishikawa
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Yasushi Ishikawa: Department of Mathematics, Faculty of Science, Ehime University, Matsuyama Ehime 790-8577, Japan

Chapter 5 in Stochastic Processes and Applications to Mathematical Finance, 2004, pp 97-118 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionItô Type ProcessCanonical Process on Poisson SpaceShort Time Asymptotic BoundsSupport Theorem for Jump Processes of Canonical TypeOptimal Control Problem Associated with Jump ProcessesAppendix—Sketch of Proof for Proposition 4.6References

Keywords: Stochastic Processes; Stochastic Differential Equations; Malliavin Calculus; Stochastic Control and Optimization; Functionals of Brownian Motions and Lévy Processes; Stochastic Models of Financial Market; Derivative Pricing; Hedging Problem (search for similar items in EconPapers)
Date: 2004
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