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 (i.e. solutions of stochastic differential equations driven by Lévy processes) and its appli...
Sábháilte in:
| Príomhchruthaitheoirí: | , |
|---|---|
| Formáid: | Livre numérique |
| Teanga: | Anglais |
| Foilsithe / Cruthaithe: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Springer e-books
[20..].
Cham : Springer Nature |
| Sraith: | Universitext
|
| Rochtain ar líne: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nóta: |
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, Agnes Sulem, 2005, Berlin, Springer, 1 vol. (X-208 p.), Universitext, 3-540-14023-9 |
Clár na nÁbhar:
- Stochastic Calculus with Jump diffusions Optimal Stopping of Jump Diffusions Stochastic Control of Jump Diffusions Combined Optimal Stopping and Stochastic Control of Jump Diffusions Singular Control for Jump Diffusions Impulse Control of Jump Diffusions Approximating Impulse Control of Diffusions by Iterated Optimal Stopping Combined Stochastic Control and Impulse Control of Jump Diffusions Viscosity Solutions Solutions of Selected Exercises