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Author Øksendal, B. K. (Bernt Karsten), 1945-

Title Applied stochastic control of jump diffusions / Bernt Øksendal, Agnès Sulem
Edition 2nd ed
Published Berlin : Springer, ©2007


Description 1 online resource (xiii, 257 pages) : illustrations
Series 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 243-249) 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. 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.
Stochastische Kontrolltheorie
Form Electronic book
Author Sulem, Agnès.
ISBN 9783540698265