2 papers
math.OC2026
Stochastic Optimal Control of Hawkes Jump-Diffusion Systems
Daria Sakhanda, Joshué Helí Ricalde-Guerrero
This paper is devoted to developing a framework for stochastic growth models with environmental risk, in which rare but catastrophic shocks interact with capital accumulation and p…
math.PR2023
Coupled forward-backward stochastic differential equations with jumps in random environments
Daniel Hernández-Hernández, Joshué Helí Ricalde-Guerrero
In this paper we obtain results for the existence and uniqueness of solutions to coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with jumps defined on a random…