ENGLISH

Applied Stochastic Control of Jump Diffusions

By Bernt Øksendal , Agnès Sulem

Book information

Year
2007
ISBN
3540698256, 3540140239, 9783540698265, 9783540698258, 9783540140238, 3540698264
Open Library ID
OL9054133M
Language
english
Format
PDF
Filesize
2 MB (1818474 bytes)
Edition
2nd
Pages
215\215
Time added
2011-06-04 13:46:07

Description

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 L?vy 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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