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Applied Stochastic Control of Jump Diffusions

Applied Stochastic Control of Jump Diffusions

Agnès Sulem / Bernt Øksendal

87,63 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2019
Materia
Probabilidad y estadística
ISBN:
9783030027797
87,63 €
IVA incluido
Disponible

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Sobre IBD

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.

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Otros libros del autor

  • Applied Stochastic Control of Jump Diffusions
    Agnès Sulem / Bernt Øksendal
    The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and their applications. Both the dynamic programming method and the stochastic maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems invol...
    Disponible

    47,07 €