Related papers: Regularity of the Optimal Stopping Problem for Jum…
We explore properties of the value function and existence of optimal stopping times for functionals with discontinuities related to the boundary of an open (possibly unbounded) set $\mathcal{O}$. The stopping horizon is either random, equal…
This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptotic expansions as in the usual approach of treating diffusion…
We study the Bayesian problems of detecting a change in the drift rate of an observable diffusion process with linear and exponential penalty costs for a detection delay. The optimal times of alarms are found as the first times at which the…
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
In this paper we address the regularity issues of drift-diffusion equation with nonlocal diffusion, where the diffusion operator is in the realm of stable-type L\'evy operator and the velocity field is defined from the considered quantity…
We consider a class of stochastic control problems which has been widely used in optimal foraging theory. The state processes have two distinct dynamics, characterized by two pairs of drift and diffusion coefficients, depending on whether…
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control…
This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying…
We show that if either the process is strong Feller and the boundary point is probabilistically regular for the stopping set, or the process is strong Markov and the boundary point is probabilistically regular for the interior of the…
We prove a functional non-central limit theorem for jump-diffusions with periodic coefficients driven by strictly stable Levy-processes with stability index bigger than one. The limit process turns out to be a strictly stable Levy process…
Motivated by networked systems, stochastic control, optimization, and a wide variety of applications, this work is devoted to systems of switching jump diffusions. Treating such nonlinear systems, we focus on stability issues. First…
In this paper we study nonnegative, measure valued solutions of the initial value problem for one-dimensional drift-diffusion equations when the nonlinear diffusion is governed by an increasing $C^1$ function $\beta$ with $\lim_{r\to…
In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…
In this article, we consider a weighted mean-field control problem with jump-diffusion as its state process. The main difficulty is from the non-Lipschitz property of the coefficients. We overcome this difficulty by an $L_{p,q}$-estimate of…
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable…
In this paper consistency problems for multi-factor jump-diffusion models, where the jump parts follow multivariate point processes are examined. First the gap between jump-diffusion models and generalized Heath-Jarrow-Morton (HJM) models…
We consider the problem of stopping a diffusion process with a payoff functional that renders the problem time-inconsistent. We study stopping decisions of naive agents who reoptimize continuously in time, as well as equilibrium strategies…
General theorems for existence and uniqueness of viscosity solutions for Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVI) with integral term are established. Such nonlinear partial integro-differential equations (PIDE) arise…
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…