Applied Stochastic Control Of Jump Diffusions
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Applied Stochastic Control of Jump Diffusions
Author: Bernt Øksendal
language: en
Publisher: Springer Science & Business Media
Release Date: 2007-04-26
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.
Applied Stochastic Control of Jump Diffusions
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.
Applied Stochastic Processes and Control for Jump Diffusions
Author: Floyd B. Hanson
language: en
Publisher: Society for Industrial and Applied Mathematics (SIAM)
Release Date: 2007-11-22
This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science. It emphasises modelling and problem solving, and presents sample applications in financial engineering and biomedical modelling. Contains computational and analytic exercises and examples, with appendices provided on a supplementary Web page.