Applied stochastic processes and control for jump-diffusions - modeling, analysis, and computation

By Floyd B. Hanson. Advances in design and control, 2007

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PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (2012, background): “Multi-dimensional linear-quadratic control with jumps is treated in the book by Hanson [2007]. However, our setting (even without the singularity of the value function) is not covered therein.”
Discrete Diffusion Modeling by Estimating the Ratios of the Data Distribution (2023, methodology): “The log likelihood of data points can be bounded using an ELBO based off of Dynkin’s formula (Hanson, 2007), which was derived for discrete diffusion models in Campbell et al. (2022).”
Stability analysis for stochastic hybrid systems: A survey (2014, background): “…& Liberzon, 2006a, 2007; Mariton, 1990; Zhu, Yin, & Song, 2009), hybrid switching diffusions (Deng, Luo, & Mao, 2012; Ghosh, Arapostathis, & Marcus, 1991, 1993; Hanson, 2007; Hespanha, 2005; Khasminskii, Zhu, ✩ Research supported in part by NSF grant ECCS-1232035 and AFOSR grant FA9550-12-1-0127.”