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Applied Stochastic Control of Jump Diffusions

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,...

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Bibliographic Details
Main Authors: Øksendal, Bernt, Sulem, Agnès (Author)
Format: eBook
Language:English
Published: Cham Springer International Publishing 2019, 2019
Edition:3rd ed. 2019
Series:Universitext
Subjects:
Mathematics In Business, Economics And Finance
Operations Research, Management Science
Operations Research
Management Science
Calculus Of Variations And Optimization
Control Theory
Systems Theory, Control
Probability Theory
System Theory
Social Sciences / Mathematics
Operator Theory
Mathematical Optimization
Calculus Of Variations
Probabilities
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • Preface
  • Stochastic Calculus with Lévy 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

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