Applied Stochastic Control of Jump Diffusions

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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 appl...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Øksendal, Bernt (Autor), Sulem, Agnès (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2005.
Edición:1st ed. 2005.
Colección:Universitext,
Temas:
Probabilities.
Operations research.
Management science.
Operator theory.
Social sciences-Mathematics.
Probability Theory.
Operations Research, Management Science .
Operator Theory.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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