rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Applied Stochastic Control of Jump Diffusions
  name:
    name part: Øksendal, Bernt.
    role:
      role term: creator
    role:
      role term: author.
    role:
      role term: aut
    role:
      role term: http://id.loc.gov/vocabulary/relators/aut
  name:
    name part: Sulem, Agnès.
    role:
      role term: author.
    role:
      role term: aut
    role:
      role term: http://id.loc.gov/vocabulary/relators/aut
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2019
    edition: 3rd ed. 2019.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XVI, 436 p. 26 illus., 3 illus. in color. online resource.
  abstract: 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, 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 applications, mostly to finance. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions. This will help the reader understand the theory and see how to apply it. The book assumes some basic knowledge of stochastic analysis, measure theory and partial differential equations. The 3rd edition is an expanded and updated version of the 2nd edition, containing recent developments within stochastic control and its applications. Specifically, there is a new chapter devoted to a comprehensive presentation of financial markets modelled by jump diffusions, and one on backward stochastic differential equations and convex risk measures. Moreover, the authors have expanded the optimal stopping and the stochastic control chapters to include optimal control of mean-field systems and stochastic differential games.
  table of contents: Preface -- Stochastic Calculus with Lévy 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.
  note: by Bernt Øksendal, Agnès Sulem.
  subject:
    topic: Operations research
  subject:
    topic: Management science
  subject:
    topic: Probabilities
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Calculus of variations
  subject:
    topic: Operator theory
  subject:
    topic: System theory
  subject:
    topic: Operations Research, Management Science
  subject:
    topic: Probability Theory and Stochastic Processes
  subject:
    topic: Quantitative Finance
  subject:
    topic: Calculus of Variations and Optimal Control; Optimization
  subject:
    topic: Operator Theory
  subject:
    topic: Systems Theory, Control
  classification: QA402-402.37
  classification: T57.6-57.97
  classification: 519.6
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Universitext
  identifier: 9783030027810
  identifier: https://doi.org/10.1007/978-3-030-02781-0
  record info:
    record creation date: 190417
    record change date: 20191029042027.0
    record identifier: 978-3-030-02781-0