Description 
1 online resource (xiii, 257 pages) : illustrations 
Series 
Universitext 

Universitext.

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  References  Notation and symbols  Index 
Summary 
"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 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."Jacket 
Bibliography 
Includes bibliographical references (pages 243249) and index 
Notes 
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL 

Print version record 

digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL 
Subject 
Stochastic control theory.


Stochastic processes.


Viscosity solutions.


Stochastic processes.


Viscosity solutions.


Stochastic control theory.


Stochastic control theory.


Stochastic processes.


Viscosity solutions.


Diffusionsprozess


LévyProzess


Sprungprozess


Stochastische Kontrolltheorie

Form 
Electronic book

Author 
Sulem, Agnès.

ISBN 
9783540698265 

3540698264 

3540698256 

9783540698258 

6611351531 

9786611351533 
