Applied Stochastic Control of Jump Diffusions

Business & Finance, Management & Leadership, Operations Research, Nonfiction, Science & Nature, Mathematics, Statistics
Cover of the book Applied Stochastic Control of Jump Diffusions by Bernt Øksendal, Agnès Sulem, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Bernt Øksendal, Agnès Sulem ISBN: 9783030027810
Publisher: Springer International Publishing Publication: April 17, 2019
Imprint: Springer Language: English
Author: Bernt Øksendal, Agnès Sulem
ISBN: 9783030027810
Publisher: Springer International Publishing
Publication: April 17, 2019
Imprint: Springer
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer International Publishing

Cover of the book Remote Sensing Applications in Environmental Research by Bernt Øksendal, Agnès Sulem
Cover of the book Antitrust Analysis of Online Sales Platforms & Copyright Limitations and Exceptions by Bernt Øksendal, Agnès Sulem
Cover of the book Living Labs by Bernt Øksendal, Agnès Sulem
Cover of the book Incompetency and Competency Training by Bernt Øksendal, Agnès Sulem
Cover of the book Design and Management of Energy-Efficient Hybrid Electrical Energy Storage Systems by Bernt Øksendal, Agnès Sulem
Cover of the book Symmetries and Dynamics of Star Clusters by Bernt Øksendal, Agnès Sulem
Cover of the book Well-being, Poverty and Justice from a Child’s Perspective by Bernt Øksendal, Agnès Sulem
Cover of the book Chaotic, Fractional, and Complex Dynamics: New Insights and Perspectives by Bernt Øksendal, Agnès Sulem
Cover of the book Best Practices for the Mentally Ill in the Criminal Justice System by Bernt Øksendal, Agnès Sulem
Cover of the book Environmental Radiation Effects on Mammals by Bernt Øksendal, Agnès Sulem
Cover of the book Chemical Reactor Modeling by Bernt Øksendal, Agnès Sulem
Cover of the book Understanding Educational Psychology by Bernt Øksendal, Agnès Sulem
Cover of the book Knowledge and Project Management by Bernt Øksendal, Agnès Sulem
Cover of the book Female Entrepreneurship in Nineteenth-Century England by Bernt Øksendal, Agnès Sulem
Cover of the book Husserlian Phenomenology by Bernt Øksendal, Agnès Sulem
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy