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Applied Stochastic Control of Jump Diffusions
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 con...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2007.
|
| Edición: | 2nd ed. 2007. |
| Colección: | Universitext,
|
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
| LEADER | 00000nam a22000005i 4500 | ||
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| 001 | 978-3-540-69826-5 | ||
| 003 | DE-He213 | ||
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| 008 | 100301s2007 gw | s |||| 0|eng d | ||
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| 024 | 7 | |a 10.1007/978-3-540-69826-5 |2 doi | |
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| 100 | 1 | |a Øksendal, Bernt. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Applied Stochastic Control of Jump Diffusions |h [electronic resource] / |c by Bernt Øksendal, Agnès Sulem. |
| 250 | |a 2nd ed. 2007. | ||
| 264 | 1 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg : |b Imprint: Springer, |c 2007. | |
| 300 | |a XIV, 262 p. 27 illus. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 490 | 1 | |a Universitext, |x 2191-6675 | |
| 505 | 0 | |a 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. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Probabilities. | |
| 650 | 0 | |a Operations research. | |
| 650 | 0 | |a Management science. | |
| 650 | 0 | |a Operator theory. | |
| 650 | 0 | |a Social sciences-Mathematics. | |
| 650 | 1 | 4 | |a Probability Theory. |
| 650 | 2 | 4 | |a Operations Research, Management Science . |
| 650 | 2 | 4 | |a Operator Theory. |
| 650 | 2 | 4 | |a Mathematics in Business, Economics and Finance. |
| 700 | 1 | |a Sulem, Agnès. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783540834861 |
| 776 | 0 | 8 | |i Printed edition: |z 9783540698258 |
| 830 | 0 | |a Universitext, |x 2191-6675 | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/978-3-540-69826-5 |z Texto Completo |
| 912 | |a ZDB-2-SMA | ||
| 912 | |a ZDB-2-SXMS | ||
| 950 | |a Mathematics and Statistics (SpringerNature-11649) | ||
| 950 | |a Mathematics and Statistics (R0) (SpringerNature-43713) | ||