Show simple item record

hal.structure.identifierCriteo AI Lab
dc.contributor.authorAbeille, Marc
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBouchard, Bruno
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
hal.structure.identifierCriteo AI Lab
dc.contributor.authorCroissant, Lorenzo
dc.date.accessioned2021-10-15T13:07:23Z
dc.date.available2021-10-15T13:07:23Z
dc.date.issued2021-06
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/22025
dc.language.isoenen
dc.subjectDiffusive limiten
dc.subjectstochastic optimal controlen
dc.subjectonline auctionsen
dc.subject.ddc515en
dc.titleDiffusive limit approximation of pure-jump optimal stochastic control problemsen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe 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.en
dc.identifier.citationpages28en
dc.relation.ispartofseriestitleCahier de recherche du CEREMADEen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-03269700en
dc.subject.ddclabelAnalyseen
dc.identifier.citationdate2021
dc.description.ssrncandidatenon
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2021-10-15T13:03:25Z
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record