Applied Stochastic Control of Jump Diffusions by Øksendal, Bernt

Applied Stochastic Control of Jump Diffusions (Paperback) (ISBN-13: 9783030027797)

Vendor: Bernt ﾘksendal
Product type: Books
Format: Paperback
$69.99
$69.99
$69.99
Subtotal: $69.99
Applied Stochastic Control of Jump Diffusions by Øksendal, Bernt

Applied Stochastic Control of Jump Diffusions

$69.99
Applied Stochastic Control of Jump Diffusions by Øksendal, Bernt

Applied Stochastic Control of Jump Diffusions

$69.99
Format: Paperback
Description
Description
x

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.




Author: Bernt ﾘksendal, Agn鑚 Sulem
ISBN-10: 3030027791
ISBN-13: 9783030027797
Publisher: Springer
Language: English
Published: 05/02/2019
Pages: 436
Format: Paperback
Weight: 1.39lbs
Size: 9.21h x 6.14w x 0.92d
By Bernt ﾘksendal
By Bernt ﾘksendal
x

Agn鑚 Sulem is a researcher at INRIA, Paris. She leads the MATHRISK research group and the Premia consortium for quantitative finance. She teaches in the doctoral programs at University Paris-Dauphine and Luxemburg University. Her fields of research are stochastic control, numerical and stochastic analysis, and mathematical finance. She is the author of 2 books and about 100 research articles. Besides mathematics, Agn鑚 Sulem enjoys playing the violin.

Bernt ﾘksendal is professor emeritus at the University of Oslo (UiO) and associate professor and Honorary Doctor at the Norwegian School of Economics (NHH). He was awarded the Nansen Prize in 1996 and the UiO Research Prize in 2014. His interests are in stochastic analysis, stochastic control and applications, especially in biology and finance. He has over 200 publications, including 10 books. His other interests and pleasures include jogging, music, science and nature.

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