65 citations
- Universidad de Los AndesCO7 papers
- Fudan UniversityCN6 papers
- Centre National de la Recherche ScientifiqueFR3 papers
- Pontificia Universidad JaverianaCO3 papers
- Universidad Autónoma de MadridES3 papers
- Universidad del NorteCO3 papers
- Universidad Rey Juan CarlosES3 papers
- Central UniversityCO2 papers
- Innaxis Foundation & Research InstituteES2 papers
- Laboratoire d'Informatique de l'École PolytechniqueFR2 papers
- Laboratoire d'Informatique, du Traitement de l'Information et des SystèmesFR2 papers
- Ollscoil na Gaillimhe – University of GalwayIE2 papers
Showing 2015 · math.PRShow all
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math.PR2015★ 7 cited
On jump-diffusion processes with regime switching: martingale approach
Antonio Di Crescenzo, Nikita Ratanov
We study jump-diffusion processes with parameters switching at random times. Being motivated by possible applications, we characterise equivalent martingale measures for these proc…
math.PR2015
On the LP formulation in measure spaces of optimal control problems for jump-diffusions
Rafael Serrano
In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffusions of Ito-Levy type as a LP problem in a measure space, and prove that the op…