Combined Optimal Stopping and Stochastic Control of Jump Diffusions

  • Bernt ØksendalEmail author
  • Agnès Sulem
Part of the Universitext book series (UTX)


In this chapter we discuss combined optimal stopping and stochastic control problems and their associated Hamilton–Jacobi–Bellman (HJB) variational inequalities. This is a subject which deserves to be better known because of its many applications. A thorough treatment of such problems (but without the associated HJB variational inequalities) can be found in Krylov [K].

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© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of OsloOsloNorway
  2. 2.Inria Research Center of ParisParisFrance

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