A new numerical scheme for stochastic control problems of jump-diffusion equations by means of Runge-Kutta method

Date

2027-01-01

Author

ALTINTAN, DERYA
Aydin, Elif
YILMAZ, FİKRİYE NURAY
Temoçin, Büşra Zeynep

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In this paper, a new numerical scheme for optimal control of jump-diffusion model is proposed by using stohastic Runge-Kutta (SRK) method. After discretizing the problem with the SRK method, optimality conditions are obtained by using the discretize-then-optimize approach. It is shown that the constructed numerical scheme is similar to the continuous optimality conditions obtained by using the Hamilton-Jacobi-Bellman equations. Moreover, a numerical scheme for control problems of Ornstein-Uhlenbeck (OU) with jump is presented as a simple version of jump diffusion equations. Some numerical examples are chosen to show the efficiency of the theoretical results.

URI

https://hdl.handle.net/11511/120094

Journal

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

DOI

https://doi.org/10.1016/j.cam.2026.117862

Collections

Graduate School of Applied Mathematics, Article

Citation Formats

D. ALTINTAN, E. Aydin, F. N. YILMAZ, and B. Z. Temoçin, “A new numerical scheme for stochastic control problems of jump-diffusion equations by means of Runge-Kutta method,” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, vol. 489, pp. 0–0, 2027, Accessed: 00, 2026. [Online]. Available: https://hdl.handle.net/11511/120094.