Applied Stochastic Control of Jump Diffusions / Edition 1

Applied Stochastic Control of Jump Diffusions / Edition 1

by Bernt Oksendal, Agnes Sulem, Bernt A~ksendal
     
 

ISBN-10: 3540140239

ISBN-13: 9783540140238

Pub. Date: 12/22/2004

Publisher: Springer-Verlag New York, LLC

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

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 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.

Product Details

ISBN-13:
9783540140238
Publisher:
Springer-Verlag New York, LLC
Publication date:
12/22/2004
Series:
Universitext Series
Edition description:
New Edition
Pages:
208
Product dimensions:
6.10(w) x 9.20(h) x 0.50(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.- Impulse control of jump diffusions.- Approximating impulse control of diffusions by iterated optimal stopping.- Combined shastic control and impulse control of jump diffusions.- Singular control of jump diffusions.- Viscosity solutions.- Numerical solutions methods.- Appendices: Solutions of the exercises.- Bibliography.- List of frequently used notation and symbols.- Index.

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