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Viser: Applied Stochastic Control of Jump Diffusions

Applied Stochastic Control of Jump Diffusions, 3. udgave

Applied Stochastic Control of Jump Diffusions

Bernt Øksendal og Agnès Sulem
(2019)
Sprog: Engelsk
Springer International Publishing AG
677,00 kr.
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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.
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