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Product Information
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 Levy 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 Identifiers
PublisherSpringer-Verlag Berlin AND Heidelberg Gmbh & Co. KG
ISBN-139783540698258
eBay Product ID (ePID)89665597
Product Key Features
Number of Pages262 Pages
Publication NameApplied Stochastic Control of Jump Diffusions
LanguageEnglish
SubjectAccounting, Mathematics, Management
Publication Year2007
TypeTextbook
Subject AreaData Analysis
AuthorAgnes Sulem, Bernt Oksendal
SeriesUniversitext
FormatPaperback
Dimensions
Item Height235 mm
Item Weight514 g
Item Width155 mm
Additional Product Features
Country/Region of ManufactureGermany
Title_AuthorAgnes Sulem, Bernt Oksendal
