國立高雄大學圖資館 |

Language: English

Back

Applied stochastic control of jump d...

Oksendal, Bernt.

Applied stochastic control of jump diffusions

Record Type:	Electronic resources : Monograph/item
Title/Author:	Applied stochastic control of jump diffusionsby 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.
Contained By:	Springer eBooks
Subject:	Stochastic control theory.
Online resource:	https://doi.org/10.1007/978-3-030-02781-0
ISBN:	9783030027810$q(electronic bk.)

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$q(electronic bk.)

Standard No.: 10.1007/978-3-030-02781-0doi

Publisher. No.: nam a2200361 a 4500Subjects--Topical Terms:

183121
Stochastic control theory.

LC Class. No.: QA402.37

Dewey Class. No.: 629.8312

Applied stochastic control of jump diffusions
LDR:02923nmm a2200373 a 4500 001 556871
003 DE-He213
005 20190417192355.0
006 m d
007 cr nn 008maaau
008 191127s2019 gw s 0 eng d
020 $a 9783030027810$q(electronic bk.)
020 $a 9783030027797$q(paper)
024 7 $a 10.1007/978-3-030-02781-0 $2 doi
028 8 7 $a nam a2200361 a 4500
035 $a 978-3-030-02781-0
040 $a GP $c GP
041 0 $a eng
050 4 $a QA402.37
072 7 $a KJT $2 bicssc
072 7 $a BUS049000 $2 bisacsh
072 7 $a KJT $2 thema
072 7 $a KJM $2 thema
082 0 4 $a 629.8312 $2 23
090 $a QA402.37 $b .O41 2019
100 1 $a Oksendal, Bernt. $3 256390
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 183121
650 0 $a Stochastic processes. $3 181874
650 0 $a Viscosity solutions. $3 245512
650 1 4 $a Operations Research, Management Science. $3 511451
650 2 4 $a Probability Theory and Stochastic Processes. $3 274061
650 2 4 $a Quantitative Finance. $3 274071
650 2 4 $a Calculus of Variations and Optimal Control; Optimization. $3 274198
650 2 4 $a Operator Theory. $3 274795
650 2 4 $a Systems Theory, Control. $3 274654
700 1 $a Sulem, Agnes. $3 256389
710 2 $a SpringerLink (Online service) $3 273601
773 0 $t Springer eBooks
830 0 $a Universitext. $3 558272
856 4 0 $u https://doi.org/10.1007/978-3-030-02781-0
950 $a Mathematics and Statistics (Springer-11649)