Stochastic Target Problems with Controlled Loss in Jump Diffusion Models
نویسندگان
چکیده
منابع مشابه
Stochastic Target Problems with Controlled Loss in Jump Diffusion Models
In this paper, we consider a mixed diffusion version of the stochastic target problem introduced in [3]. This consists in finding the minimum initial value of a controlled process which guarantees to reach a controlled stochastic target with a given level of expected loss. It can be converted into a standard stochastic target problem, by increasing both the state space and the dimension of the ...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2011
ISSN: 0363-0129,1095-7138
DOI: 10.1137/100802268