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Applied stochastic control of jump diffusions

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Applied stochastic control of jump diffusions/ by Bernt Oksendal, Agnes Sulem.
作者:	Oksendal, Bernt.
其他作者:	Sulem, Agnes.
出版者:	Cham :Springer International Publishing : : 2019.,
面頁冊數:	xvi, 436 p. :ill. (some col.), digital ; : 24 cm.;
Contained By:	Springer eBooks
標題:	Stochastic control theory. -
電子資源:	https://doi.org/10.1007/978-3-030-02781-0
ISBN:	9783030027810

Applied stochastic control of jump diffusions
Oksendal, Bernt.

Applied stochastic control of jump diffusions[electronic resource] /by Bernt Oksendal, Agnes Sulem. - 3rd ed. - Cham :Springer International Publishing :2019. - xvi, 436 p. :ill. (some col.), digital ;24 cm. - Universitext,0172-5939. - Universitext..

Preface -- Stochastic Calculus with Levy Processes -- Financial Markets Modelled by Jump Diffusions -- Optimal Stopping of Jump Diffusions -- Backward Stochastic Differential Equations and Risk Measures -- Stochastic Control of Jump Diffusions -- Stochastic Differential Games -- Combined Optimal Stopping and Stochastic Control of Jump Diffusions -- Viscosity Solutions -- Solutions of Selected Exercises -- References -- Notation and Symbols.

The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and their applications. Both the dynamic programming method and the stochastic 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. 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. The 3rd edition is an expanded and updated version of the 2nd edition, containing recent developments within stochastic control and its applications. Specifically, there is a new chapter devoted to a comprehensive presentation of financial markets modelled by jump diffusions, and one on backward stochastic differential equations and convex risk measures. Moreover, the authors have expanded the optimal stopping and the stochastic control chapters to include optimal control of mean-field systems and stochastic differential games.

ISBN: 9783030027810

Standard No.: 10.1007/978-3-030-02781-0doiSubjects--Topical Terms:

570238
Stochastic control theory.

LC Class. No.: QA402.37

Dewey Class. No.: 629.8312

Applied stochastic control of jump diffusions
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505 0 $a Preface -- Stochastic Calculus with Levy Processes -- Financial Markets Modelled by Jump Diffusions -- Optimal Stopping of Jump Diffusions -- Backward Stochastic Differential Equations and Risk Measures -- Stochastic Control of Jump Diffusions -- Stochastic Differential Games -- Combined Optimal Stopping and Stochastic Control of Jump Diffusions -- Viscosity Solutions -- Solutions of Selected Exercises -- References -- Notation and Symbols.
520 $a The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and their applications. Both the dynamic programming method and the stochastic 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. 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. The 3rd edition is an expanded and updated version of the 2nd edition, containing recent developments within stochastic control and its applications. Specifically, there is a new chapter devoted to a comprehensive presentation of financial markets modelled by jump diffusions, and one on backward stochastic differential equations and convex risk measures. Moreover, the authors have expanded the optimal stopping and the stochastic control chapters to include optimal control of mean-field systems and stochastic differential games.
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