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Diffusive limit approximation of pure-jump optimal stochastic control problems

Abstract : We consider the diffusive limit of a typical pure-jump Markovian control problem as the intensity of the driving Poisson process tends to infinity. We show that the convergence speed is provided by the Hölder constant of the Hessian of the limit problem, and explain how correction terms can be constructed. This provides an alternative efficient method for the numerical approximation of the optimal control of a pure-jump problem in situations with very high intensity of jump. We illustrate this approach in the context of a display advertising auction problem.
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Preprints, Working Papers, ...
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Contributor : Lorenzo Croissant Connect in order to contact the contributor
Submitted on : Monday, July 25, 2022 - 5:24:48 PM
Last modification on : Wednesday, July 27, 2022 - 3:46:20 AM


BLM21 rev JOTA.pdf
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  • HAL Id : hal-03269700, version 3



Marc Abeille, Bruno Bouchard, Lorenzo Croissant. Diffusive limit approximation of pure-jump optimal stochastic control problems. 2022. ⟨hal-03269700v3⟩



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