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Applied Stochastic Control of Jump Diffusions
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Applied Stochastic Control of Jump Diffusions Paperback - 2004

by Bernt K. Oksendal; Agnhs Sulem; Bernt A~ksendal

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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 Levy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

First line

Definition 1.1 Let ( ,F, (Ft)t 0, P) be a filtered probability space.

Details

  • Title Applied Stochastic Control of Jump Diffusions
  • Author Bernt K. Oksendal; Agnhs Sulem; Bernt A~ksendal
  • Binding Paperback
  • Edition 1st
  • Pages 208
  • Volumes 1
  • Language ENG
  • Publisher Springer, Berlin, Germany
  • Publication date December 22, 2004
  • ISBN 9783540140238 / 3540140239
  • Weight 0.79 lbs (0.36 kg)
  • Dimensions 9.22 x 6.54 x 0.51 in (23.42 x 16.61 x 1.30 cm)
  • Category Mathematics
  • Dewey Decimal Code 511.8

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Applied Stochastic Control of Jump Diffusions
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Applied Stochastic Control of Jump Diffusions

by Oksendal, Bernt, Sulem, Agnes

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Applied Stochastic Control of Jump Diffusions
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Applied Stochastic Control of Jump Diffusions

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Applied Stochastic Control Of Jump Diffusions
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Applied Stochastic Control Of Jump Diffusions

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APPLIED STOCHASTIC CONTROL OF JUMP DIFFUSIONS
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APPLIED STOCHASTIC CONTROL OF JUMP DIFFUSIONS

by OKSENDAL, BERNT, SULEM, AGNÈS,

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APPLIED STOCHASTIC CONTROL OF JUMP DIFFUSIONS
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APPLIED STOCHASTIC CONTROL OF JUMP DIFFUSIONS

by OKSENDAL, BERNT, SULEM, AGNÈS,

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Applied Stochastic Control of Jump Diffusions
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Applied Stochastic Control of Jump Diffusions (Universitext)
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Applied Stochastic Control of Jump Diffusions (Universitext)

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