Applied Stochastic Control of Jump Diffusions (2005) (Universitext)
By: and
Sign Up Now!
Already a Member? Log In
You must be logged into UK education collection to access this title.
Learn about membership options,
or view our freely available titles.
- 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.
- Copyright:
- 2005
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783540264415
- Related ISBNs:
- 9783540140238
- Publisher:
- Springer Berlin Heidelberg
- Date of Addition:
- 08/10/22
- Copyrighted By:
- N/A
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Business and Finance, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.
Reviews
Other Books
- by Bernt Øksendal
- by Agnès Sulem
- in Nonfiction
- in Business and Finance
- in Mathematics and Statistics