Applied Stochastic Control of Jump Diffusions,Used

Applied Stochastic Control of Jump Diffusions,Used

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SKU: SONG3540140239
Brand: Springer
Condition: Used
$47.39
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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 realworld applications, primarily in finance. Results are illustrated by examples, with endofchapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lvy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

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