Applied Stochastic Control of Jump Diffusions / Edition 2

Applied Stochastic Control of Jump Diffusions / Edition 2

by Bernt Oksendal, Agnes Sulem-Bialobroda
     
 

ISBN-10: 3540698256

ISBN-13: 9783540698258

Pub. Date: 06/28/2007

Publisher: Springer Berlin Heidelberg

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

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Overview

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.

Product Details

ISBN-13:
9783540698258
Publisher:
Springer Berlin Heidelberg
Publication date:
06/28/2007
Series:
Universitext Series
Edition description:
2nd ed. 2007
Pages:
262
Product dimensions:
0.59(w) x 9.21(h) x 6.14(d)

Table of Contents

Shastic Calculus with Jump Diffusions.- Optimal Stopping of Jump Diffusions.- Shastic Control of Jump Diffusions.- Combined Optimal Stopping and Shastic Control of Jump Diffusions.- Singular Control for Jump Diffusions.- Impulse Control of Jump Diffusions.- Approximating Impulse Control by Iterated Optimal Stopping.- Combined Shastic Control and Impulse Control of Jump Diffusions.- Viscosity Solutions.- Optimal Control of Random Jump Fields and Partial Information Control.- Solutions of Selected Exercises.

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