Applied Stochastic Control of Jump Diffusions

• Main Authors: Øksendal, Bernt (Author), Sulem, Agnès (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.
• Series: Universitext
• Subjects: 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...