Applied Stochastic Control of Jump Diffusions

• Κύριοι συγγραφείς: Øksendal, Bernt (Συγγραφέας), Sulem, Agnès (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.
• Σειρά: Universitext
• Θέματα: Mathematics.; Operator theory.; Economics, Mathematical.; Operations research.; Management science.; Probabilities.; Probability Theory and Stochastic Processes.; Operations Research, Management Science.; Operator Theory.; Quantitative Finance.

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 Lévy processes) and its appli...

Πίνακας περιεχομένων:

• Stochastic Calculus with Jump diffusions
• Optimal Stopping of Jump Diffusions
• Stochastic Control of Jump Diffusions
• Combined Optimal Stopping and Stochastic Control of Jump Diffusions
• Singular Control for Jump Diffusions
• Impulse Control of Jump Diffusions
• Approximating Impulse Control of Diffusions by Iterated Optimal Stopping
• Combined Stochastic Control and Impulse Control of Jump Diffusions
• Viscosity Solutions
• Solutions of Selected Exercises.