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Applied Stochastic Control Of Jump Diffusions 2nd Bernt Ksendal

Name: Applied Stochastic Control Of Jump Diffusions 2nd Bernt Ksendal
SKU: BELL-2020884
Price: 31.00 USD
Availability: InStock
Rating: 4 (46 reviews)

SKU: BELL-2020884

$ 31.00 ~~$ 45.00~~ (-31%)

4.0

46 reviews

Applied Stochastic Control Of Jump Diffusions 2nd Bernt Ksendal instant download after payment.

Publisher: Springer

File Extension: PDF

File size: 1.73 MB

Pages: 215

Author: Bernt Øksendal, Agnès Sulem

ISBN: 9783540140238, 9783540698258, 9783540698265, 3540140239, 3540698256, 3540698264

Language: English

Year: 2007

Edition: 2nd

Product desciption

Applied Stochastic Control Of Jump Diffusions 2nd Bernt Ksendal by Bernt Øksendal, Agnès Sulem 9783540140238, 9783540698258, 9783540698265, 3540140239, 3540698256, 3540698264 instant download after payment.

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.