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
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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.

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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 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.

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