Diffusive Limit Approximation of Pure-Jump Optimal Stochastic Control Problems
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DOI: 10.1007/s10957-022-02135-7
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- Yoshioka, Hidekazu & Yoshioka, Yumi, 2024. "Assessing fluctuations of long-memory environmental variables based on the robustified dynamic Orlicz risk," Chaos, Solitons & Fractals, Elsevier, vol. 180(C).
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Keywords
Diffusive limit; Stochastic optimal control; Online auctions;All these keywords.
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