Applied Stochastic Control of Jump Diffusions

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Synopsis

Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

Book details

Edition:
2nd ed. 2007
Series:
Universitext
Author:
Bernt Øksendal, Agnès Sulem
ISBN:
9783540698265
Related ISBNs:
9783540698258
Publisher:
Springer Berlin Heidelberg
Pages:
N/A
Reading age:
Not specified
Includes images:
No
Date of addition:
2022-08-15
Usage restrictions:
Copyright
Copyright date:
2007
Copyright by:
N/A 
Adult content:
No
Language:
English
Categories:
Business and Finance, Mathematics and Statistics, Nonfiction