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Applied stochastic control of jump d...

Oksendal, Bernt.

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Applied stochastic control of jump diffusions

Record Type:	Electronic resources : Monograph/item
Title/Author:	Applied stochastic control of jump diffusions/ by Bernt Oksendal, Agnes Sulem.
Author:	Oksendal, Bernt.
other author:	Sulem, Agnes.
Published:	Cham :Springer International Publishing : : 2019.,
Description:	xvi, 436 p. :ill. (some col.), digital ;24 cm.
[NT 15003449]:	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.
Contained By:	Springer eBooks
Subject:	Stochastic control theory. -
Online resource:	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:

647881
Stochastic control theory.

LC Class. No.: QA402.37

Dewey Class. No.: 629.8312

Applied stochastic control of jump diffusions
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100 1 $a Oksendal, Bernt. $3 654480
245 1 0 $a Applied stochastic control of jump diffusions $h [electronic resource] / $c by Bernt Oksendal, Agnes Sulem.
250 $a 3rd ed.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2019.
300 $a xvi, 436 p. : $b ill. (some col.), digital ; $c 24 cm.
490 1 $a Universitext, $x 0172-5939
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.
650 0 $a Stochastic control theory. $3 647881
650 0 $a Stochastic processes. $3 520663
650 0 $a Viscosity solutions. $3 750108
650 1 4 $a Operations Research, Management Science. $3 1532996
650 2 4 $a Probability Theory and Stochastic Processes. $3 891080
650 2 4 $a Quantitative Finance. $3 891090
650 2 4 $a Calculus of Variations and Optimal Control; Optimization. $3 898674
650 2 4 $a Operator Theory. $3 897311
650 2 4 $a Systems Theory, Control. $3 893834
700 1 $a Sulem, Agnes. $3 750106
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a Universitext. $3 812115
856 4 0 $u https://doi.org/10.1007/978-3-030-02781-0
950 $a Mathematics and Statistics (Springer-11649)