𝔖 Scriptorium
✦   LIBER   ✦
📁

Applied Stochastic Control of Jump Diffusions

✍ Scribed by Øksendal, Bernt;Sulem, Agnès

Publisher
Springer International Publishing
Year
2019
Tongue
English
Leaves
263
Series
Universitext
Edition
3rd edition
Category
Library
⬇  Acquire This Volume

No coin nor oath required. For personal study only.

✦ Table of Contents

Preface.- Stochastic Calculus with Levy Processes.- Financial Markets Modelled by Jump Diffusions.- Optimal Stopping of Jump Diffusions.- Backward Stochastic Differential Equations and Risk Measures.- Stochastic Control of Jump Diffusions.- Stochastic Differential Games.- Combined Optimal Stopping and Stochastic Control of Jump Diffusions.- Viscosity Solutions.- Solutions of Selected Exercises.- References.- Notation and Symbols.

✦ Subjects

(BIC subject category)GPFC;(BIC subject category)KF;(BIC subject category)KJT;(BIC subject category)PBKF;(BIC subject category)PBKQ;(BIC subject category)PBT;(BISAC Subject Heading)BUS049000;(BISAC Subject Heading)KJT;(BISAC Subject Heading)MAT003000;(BISAC Subject Heading)MAT005000;(BISAC Subject Heading)MAT029000;(BISAC Subject Heading)MAT037000;(BISAC Subject Heading)SCI064000;(Produktform)Paperback / softback;(Springer Nature Marketing Classification)B;(Springer Nature Subject Code)SCM12139:

📜 SIMILAR VOLUMES

Applied Stochastic Control of Jump Diffu
📁 Applied Stochastic Control of Jump Diffusions
✍ Bernt Øksendal, Agnès Sulem, Bernt Oksendal, Agnes Sulem 📂 Library 📅 2004 🏛 Springer 🌐 English

<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 Diffu
📁 Applied Stochastic Control of Jump Diffusions
✍ Øksendal B.K., Sulem A. 📂 Library 📅 2005 🌐 English

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

Applied Stochastic Control of Jump Diffu
📁 Applied Stochastic Control of Jump Diffusions
✍ Bernt Øksendal, Agnès Sulem 📂 Library 📅 2007 🌐 English

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

Applied Stochastic Control of Jump Diffu
📁 Applied Stochastic Control of Jump Diffusions
✍ Bernt Øksendal, Agnès Sulem (auth.) 📂 Library 📅 2005 🏛 Springer Berlin Heidelberg 🌐 English

<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

Applied Stochastic Control of Jump Diffu
📁 Applied Stochastic Control of Jump Diffusions
✍ Bernt Øksendal , Agnès Sulem 📂 Library 📅 2019 🏛 Springer 🌐 English

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,