<P>The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic
Applied stochastic control of jump diffusions
✍ Scribed by Bernt Øksendal, Agnès Sulem
- Publisher
- Springer
- Year
- 2007
- Tongue
- English
- Leaves
- 214
- Series
- Universitext
- Edition
- 2nd
- Category
- Library
No coin nor oath required. For personal study only.
✦ Subjects
Математика;Теория вероятностей и математическая статистика;Теория случайных процессов;
📜 SIMILAR VOLUMES
The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic con
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
<P>The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions (i.e. solutions of stochastic differential equations driven by L?vy processes) and its ap
The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and their applications. Both the dynamic programming method and the stochastic maximum principle method are discussed,