Applied Stochastic Control of Jump Diffusions

The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of shastic control problems for jump diffusions and their applications. Both the dynamic programming method and the shastic 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. The text emphasises app...