Diffusive Limit Approximation of Pure-Jump Optimal Stochastic Control Problems

Marc Abeille, Bruno Bouchard 0002, Lorenzo Croissant. Diffusive Limit Approximation of Pure-Jump Optimal Stochastic Control Problems. J. Optimization Theory and Applications, 196(1):147-176, 2023. [doi]

Authors

Marc Abeille

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Bruno Bouchard 0002

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Lorenzo Croissant

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