SØG - mellem flere end 8 millioner bøger:
Viser: Applied Stochastic Control of Jump Diffusions
Applied Stochastic Control of Jump Diffusions
Bernt Øksendal og Agnès Sulem
(2019)
Sprog: Engelsk
Springer International Publishing AG
677,00 kr.
Print on demand. Leveringstid vil være ca 2-3 uger.
Detaljer om varen
- 3. Udgave
- Paperback
- Udgiver: Springer International Publishing AG (Maj 2019)
- Forfattere: Bernt Øksendal og Agnès Sulem
- ISBN: 9783030027797
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.
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.
De oplyste priser er inkl. moms
Butikker og åbningstid
Handler du som firma
Forretningsbetingelser
Porto og forsendelse
Data & cookiepolitik
Handler du som firma
Forretningsbetingelser
Porto og forsendelse
Data & cookiepolitik
Polyteknisk Boghandel og Forlag A/S - Anker Engelundsvej 1 - 2800 Lyngby
Tlf 77 42 43 44 - email poly@polyteknisk.dk - CVR 34072655 - Sydbank Reg: 6748 Konto 0001107927
Tlf 77 42 43 44 - email poly@polyteknisk.dk - CVR 34072655 - Sydbank Reg: 6748 Konto 0001107927