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Applied Stochastic Control of Jump Diffusions

Name: Applied Stochastic Control of Jump Diffusions
Brand: Springer
SKU: 40995845
Price: 74.38 EUR
Availability: InStock
Author: Bernt oksendal
ISBN: 9783030027810

Bernt oksendal

Agnes Sulem

Jazyk

Angličtina

E-kniha Adobe ePub DRM

Libristo kód: 40995845

Nakladateľstvo Springer, apríl 2019

Here is a rigorous introduction to the most important and useful solution methods of various types o... Celý popis

Libristo kód: 40995845

180 b

74.38 €

Skladom Ihneď na stiahnutie

Zákazníci tiež kúpili

Ensayos literarios Howard Phillips Lovecraft

Pevná

31.81 €

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 Levy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.