Applied Stochastic Control Of Jump Diffusions

Bernt Øksendal Et.Al.

ISBN 10: 3540140239 / ISBN 13: 9783540140238

Published by Springer, 2004

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Bibliographic Details

• Title: Applied Stochastic Control Of Jump Diffusions
• Publisher: Springer
• Publication Date: 2004
• Language: English
• ISBN 10: 3540140239
• ISBN 13: 9783540140238
• Binding: Soft cover
• Condition: New

About this title

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.

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.