‏404.00 ₪

Applied Stochastic Control of Jump Diffusions 3e

‏404.00 ₪
ISBN13
9783030027797
יצא לאור ב
Cham
מהדורה
3rd ed. 2019
זמן אספקה
21 ימי עסקים
עמודים
436
פורמט
Paperback / softback
תאריך יציאה לאור
18 באפר׳ 2019
מחליף את פריט
978-3-540-69825-8
שם סדרה
Universitext
Here is a rigorous introduction to solution methods of stochastic control problems for jump diffusions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a section on optimal stopping with delayed information.
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 Levy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
מידע נוסף
מהדורה 3rd ed. 2019
עמודים 436
מחליף את פריט 978-3-540-69825-8
פורמט Paperback / softback
ISBN10 3030027791
יצא לאור ב Cham
תאריך יציאה לאור 18 באפר׳ 2019
תוכן עניינים 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.
זמן אספקה 21 ימי עסקים