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Combined Optimal Stopping and Stochastic Control of Jump Diffusions

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

Abstract

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].

Copyright information

© 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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