Approximations for functionals and optimal control problems on jump diffusion processes |
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Authors: | Harold J Kushner Giovanni DiMasi |
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Institution: | 1. Division of Applied Mathematics, Brown University, Providence, Rhode Island, USA;2. LABSEB, Padua, Italy |
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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 nonlinear partial-differential-integral equation are discussed. The techniques are purely probabilistic and are extensions of those in 3], which dealt with the diffusion case. |
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