ENGLISH

Applied stochastic control of jump diffusions

By Bernt Øksendal , Agnès Sulem

Book information

Publisher
Springer
Year
2007
ISBN
3540698256, 3540140239, 9783540698265, 9783540698258, 9783540140238, 3540698264
Open Library ID
OL9054133M
Language
english
Format
PDF
Filesize
1 MB (1356603 bytes)
Series
Universitext
Edition
2nd
Pages
214\214
Library
Kolxo3
Time added
2009-07-20 03:45:11
Математика;Теория вероятностей и математическая ст

Description

The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. There are also chapters on the viscosity solution formulation and numerical methods. The text emphasises applications, mostly to finance. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions. This will help the reader understand the theory and see how to apply it. The book assumes some basic knowledge of stochastic analysis, measure theory and partial differential equations.

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