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 stochastic control problems for jump diffusions and their applications. Both the dynamic programming method and the stochastic maximum principle method are discussed,...

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Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς: Øksendal, Bernt (Συγγραφέας, http://id.loc.gov/vocabulary/relators/aut), Sulem, Agnès (http://id.loc.gov/vocabulary/relators/aut)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2019.
Έκδοση:3rd ed. 2019.
Σειρά:Universitext,
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
Πίνακας περιεχομένων:
  • 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.