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Applied Stochastic Control Of Jump Diffusions

Applied Stochastic Control Of Jump Diffusions

by ksendal Bernt Sulem Agns
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Rs. 6,044.00
Rs. 6,044.00 - Rs. 6,044.00
Rs. 6,044.00
Rs. 4,231.00
Rs. 4,231.00 - Rs. 4,231.00
Rs. 4,231.00

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Book cover type: Paperback
  • ISBN13: 9783030027797
  • Binding: Paperback
  • Subject: Mathematics and Statistics
  • Publisher: Springer Verlag
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 452
  • Original Price: EUR 64.99
  • Language: English
  • Edition: N/A
  • Item Weight: 631 grams

About the Book Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by L vy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.