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.
  name:
    name part: Sulem, Agnès.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2007
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XIV, 262 p. 27 illus. online resource.
  abstract: 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 and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the 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. There are also chapters on the viscosity solution formulation and numerical methods. 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. In the 2nd edition there is a new chapter on optimal control of stochastic partial differential equations driven by Lévy processes. There is also a new section on optimal stopping with delayed information. Moreover, corrections and other improvements have been made.
  table of contents: 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 by Iterated Optimal Stopping -- Combined Stochastic Control and Impulse Control of Jump Diffusions -- Viscosity Solutions -- Optimal Control of Random Jump Fields and Partial Information Control -- Solutions of Selected Exercises.
  note: by Bernt Øksendal, Agnès Sulem.
  subject:
    topic: Mathematics
  subject:
    topic: Operator theory
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Operations research
  subject:
    topic: Management science
  subject:
    topic: Probabilities
  subject:
    topic: Mathematics
  subject:
    topic: Probability Theory and Stochastic Processes
  subject:
    topic: Operations Research, Management Science
  subject:
    topic: Operator Theory
  subject:
    topic: Quantitative Finance
  classification: QA273.A1-274.9
  classification: QA274-274.9
  classification: 519.2
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Universitext
  identifier: 9783540698265
  identifier: http://dx.doi.org/10.1007/978-3-540-69826-5
  record info:
    record creation date: 100301
    record change date: 20151204182511.0
    record identifier: 978-3-540-69826-5