Bernt Øksendal,
Agnès Sulem
Applied Stochastic Control of Jump Diffusions
Paperback Engels 2019 3e druk 9783030027797
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9783030027797
Taal:Engels
Bindwijze:paperback
Uitgever:Springer International Publishing
Druk:3
Serie:Universitext
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Inhoudsopgave
<p>Preface.- Stochastic Calculus with Lévy Processes.- Financial Markets Modelled by Jump Diffusions.- Optimal Stopping of Jump Diffusions.- Backward Stochastic Differential Equations and Risk Measures.- Stochastic Control of Jump Diffusions.- Stochastic Differential Games.- Combined Optimal Stopping and Stochastic Control of Jump Diffusions.- Viscosity Solutions.- Solutions of Selected Exercises.- References.- Notation and Symbols.</p>
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