Items related to Applied Stochastic Control of Jump Diffusions
Synopsis
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 Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
"synopsis" may belong to another edition of this title.
From the Back Cover
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 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.
"About this title" may belong to another edition of this title.
Other Popular Editions of the Same Title
Search results for Applied Stochastic Control of Jump Diffusions
Stock Image
Applied Stochastic Control of Jump Diffusions
Seller: Books Puddle, New York, NY, U.S.A.
Seller rating 4 out of 5 stars
Condition: New. pp. x + 208 1st Edition. Seller Inventory # 26299440
Quantity: 4 available
Stock Image
APPLIED STOCHASTIC CONTROL OF JUMP DIFFUSIONS
Seller: Basi6 International, Irving, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: Brand New. New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. Seller Inventory # ABEJUNE24-411312
Quantity: 12 available
Stock Image
Applied Stochastic Control Of Jump Diffusions
Seller: Romtrade Corp., STERLING HEIGHTS, MI, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. This is a Brand-new US Edition. This Item may be shipped from US or any other country as we have multiple locations worldwide. Seller Inventory # ABNR-1951
Quantity: 5 available
Stock Image
Applied Stochastic Control of Jump Diffusions
Seller: Majestic Books, Hounslow, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. pp. x + 208 Illus. Seller Inventory # 7548527
Quantity: 4 available
Stock Image
Applied Stochastic Control Of Jump Diffusions
Seller: SMASS Sellers, IRVING, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Brand New Original US Edition. Customer service! Satisfaction Guaranteed. Seller Inventory # ASNT3-1951
Quantity: 5 available
Stock Image
Applied Stochastic Control of Jump Diffusions
Seller: Biblios, Frankfurt am main, HESSE, Germany
Seller rating 5 out of 5 stars
Condition: New. pp. x + 208. Seller Inventory # 18299450
Quantity: 4 available
Stock Image
Applied Stochastic Control Of Jump Diffusions
Seller: Basi6 International, Irving, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: Brand New. New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. Seller Inventory # ABEJUNE24-265547
Quantity: 1 available
Stock Image
APPLIED STOCHASTIC CONTROL OF JUMP DIFFUSIONS
Seller: UK BOOKS STORE, London, LONDO, United Kingdom
Seller rating 5 out of 5 stars
Paperback. Condition: New. Brand New! Fast Delivery US Edition and ship within 24-48 hours. Deliver by FedEx and Dhl, & Aramex, UPS, & USPS and we do accept APO and PO BOX Addresses. Order can be delivered worldwide within 7-10 days and we do have flat rate for up to 2LB. Extra shipping charges will be requested if the Book weight is more than 5 LB. This Item May be shipped from India, United states & United Kingdom. Depending on your location and availability. Seller Inventory # AD 9783540140238
Quantity: 12 available
Stock Image
Applied Stochastic Control Of Jump Diffusions
Seller: Romtrade Corp., STERLING HEIGHTS, MI, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. This is a Brand-new US Edition. This Item may be shipped from US or any other country as we have multiple locations worldwide. Seller Inventory # ABNR-82682
Quantity: 1 available
Stock Image
Applied Stochastic Control Of Jump Diffusions
Seller: Basi6 International, Irving, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: Brand New. New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. Seller Inventory # ABEJUNE24-265548
Quantity: 1 available