Applied Stochastic Control of Jump Diffusions
The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic con...
Gardado en:
| Auteurs principaux: | , , |
|---|---|
| Formato: | Livre numérique |
| Idioma: | Anglais |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edición: | 2nd ed. 2007. |
| Series: | Universitext
|
| Sujets: | |
| Acceso en liña: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Applied stochastic control of jump diffusions, Bernt Øksendal, Agnès Sulem, 2nd edition, 2007, Berlin, Springer, 1 vol. (XIII-257 p.), Universitext, 978-3-540-69825-8 • Applied Stochastic Control of Jump Diffusions, Texte imprimé, 9783540834861 • Applied stochastic control of jump diffusions, Bernt Øksendal, Agnès Sulem, 2nd edition, 2007, Berlin, Springer, 1 vol. (XIII-257 p.), Universitext, 978-3-540-69825-8 |
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| 100 | 1 | |a Øksendal, Bernt Karsten, |d 1945-...., |c économiste. | |
| 245 | 1 | 0 | |a Applied Stochastic Control of Jump Diffusions |c by Bernt Øksendal, Agnès Sulem. |
| 250 | |a 2nd ed. 2007. | ||
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
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| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the 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. There are also chapters on the viscosity solution formulation and numerical methods. 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. In the 2nd edition there is a new chapter on optimal control of stochastic partial differential equations driven by Lévy processes. There is also a new section on optimal stopping with delayed information. Moreover, corrections and other improvements have been made | ||
| 650 | |a Processus de diffusion | ||
| 650 | |a Processus stochastiques | ||
| 650 | |a Processus de Lévy | ||
| 700 | 1 | |a Sulem, Agnès, |d 19..- |4 aut | |
| 700 | 1 | |a Sulem, Agnès. |4 aut | |
| 776 | 0 | |0 117413399 |t Applied stochastic control of jump diffusions |f Bernt Øksendal, Agnès Sulem |e 2nd edition |d 2007 |c Berlin |n Springer |p 1 vol. (XIII-257 p.) |s Universitext |z 978-3-540-69825-8 | |
| 776 | 0 | |t Applied Stochastic Control of Jump Diffusions |b Texte imprimé |z 9783540834861 | |
| 776 | 0 | |0 117413399 |t Applied stochastic control of jump diffusions |f Bernt Øksendal, Agnès Sulem |e 2nd edition |d 2007 |c Berlin |n Springer |p 1 vol. (XIII-257 p.) |s Universitext |z 978-3-540-69825-8 | |
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