Applied Stochastic Control of Jump Diffusions

• Main Authors: Øksendal, Bernt (Author, http://id.loc.gov/vocabulary/relators/aut), Sulem, Agnès (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2019.
• Edition: 3rd ed. 2019.
• Series: Universitext,
• Subjects: Operations research.; Management science.; Probabilities.; Economics, Mathematical .; Calculus of variations.; Operator theory.; System theory.; Operations Research, Management Science.; Probability Theory and Stochastic Processes.; Quantitative Finance.; Calculus of Variations and Optimal Control; Optimization.; Operator Theory.; Systems Theory, Control.

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,...