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11 - Continuous-Time Dynamic Programming

from Part III - Optimal Control in Continuous Time

Published online by Cambridge University Press:  27 May 2021

Tomas Björk
Affiliation:
Stockholm School of Economics
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Summary

In this chapter we present a self-contained chapter on dynamic programming in continuous time in the framework of jump diffusions driven by a marked point process. We derive the relevant HJB equation and we study some examples of standard control as well as intensity control.

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Chapter
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Point Processes and Jump Diffusions
An Introduction with Finance Applications
, pp. 101 - 124
Publisher: Cambridge University Press
Print publication year: 2021

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