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Applied Stochastic Control of Jump Diffusions by B. Oksendal, A. Sulem, 3rd ed.
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eBay-Artikelnr.:354353388260
Artikelmerkmale
- Artikelzustand
- Original Language
- English
- ISBN
- 9783030027797
Über dieses Produkt
Product Identifiers
Publisher
Springer International Publishing A&G
ISBN-10
3030027791
ISBN-13
9783030027797
eBay Product ID (ePID)
23038414918
Product Key Features
Edition
3
Book Title
Applied Stochastic Control of Jump Diffusions
Number of Pages
Xvi, 436 Pages
Language
English
Topic
Probability & Statistics / Stochastic Processes, Probability & Statistics / General, Mechanics / Dynamics, Operations Research, Management Science, Mechanics / Hydrodynamics
Publication Year
2019
Illustrator
Yes
Genre
Mathematics, Science, Business & Economics
Book Series
Universitext Ser.
Format
Trade Paperback
Dimensions
Item Weight
24.3 Oz
Item Length
9.3 in
Item Width
6.1 in
Additional Product Features
Reviews
From the reviews: "The book is very well written, and will undoubtedly remain a major reference on the topic for years to come. It is an authoritative book which should be of interest to researchers in stochastic control, mathematical finance and applied mathematics. ... One of the main distinguishing features of this book is that it provides plenty of interesting exercises originated from financial market. It is very helpful for both beginners. I wish I had done these exercise when I was a student!" (Lu Qi, zbMATH 1422.93001, 2019) "The main purpose of this excellent monograph is to give a rigorous non-technical introduction to the most important and useful solution methods of various types of optimal stochastic control problems for jump diffusions and their applications. ... All the main results are illustrated by examples and exercises ... . This really helps the reader to understand the theory and to see how it can be applied. ...This book is a very useful text for students, researchers, and practitioners working in stochastic analysis ... ." (Pavel Gapeev, Zentralblatt MATH, Vol. 1074, 2005) "The focus is on the applied aspect of the theory of control diffusion processes with jumps, particularly in finance and economy. ... A relatively large number of examples and exercises (with solutions) is provided, mainly typical models in finance, but also examples in biology, physics, or engineering. ... Summing up, this book is a very good addition to the stochastic control literature ... ." (Jose-Luis Menaldi, SIAM Reviews, Vol. 47 (4), 2005) "In recent time optimal control in finance is connected with modelling of stock prices by Lévy processes and considering of different transaction costs. In the last ten years the authors and their collaborators obtained a lot of results on this field. The publication of this work in the present book seems to be a good way to attain a big audience. ... It is useful for students and practitioners in stochastic analysis." (Hans-Joachim Girlich, OR News, Issue 25, November, 2005), From the reviews: "The main purpose of this excellent monograph is to give a rigorous non-technical introduction to the most important and useful solution methods of various types of optimal stochastic control problems for jump diffusions and their applications. ... All the main results are illustrated by examples and exercises ... . This really helps the reader to understand the theory and to see how it can be applied. ... This book is a very useful text for students, researchers, and practitioners working in stochastic analysis ... ." (Pavel Gapeev, Zentralblatt MATH, Vol. 1074, 2005) "The focus is on the applied aspect of the theory of control diffusion processes with jumps, particularly in finance and economy. ... A relatively large number of examples and exercises (with solutions) is provided, mainly typical models in finance, but also examples in biology, physics, or engineering. ... Summing up, this book is a very good addition to the stochastic control literature ... ." (Jose-Luis Menaldi, SIAM Reviews, Vol. 47 (4), 2005) "In recent time optimal control in finance is connected with modelling of stock prices by Lévy processes and considering of different transaction costs. In the last ten years the authors and their collaborators obtained a lot of results on this field. The publication of this work in the present book seems to be a good way to attain a big audience. ... It is useful for students and practitioners in stochastic analysis." (Hans-Joachim Girlich, OR News, Issue 25, November, 2005), From the reviews: "The book is very well written, and will undoubtedly remain a major reference on the topic for years to come. It is an authoritative book which should be of interest to researchers in stochastic control, mathematical finance and applied mathematics. ... One of the main distinguishing features of this book is that it provides plenty of interesting exercises originated from financial market. It is very helpful for both beginners. I wish I had done these exercise when I was a student!" (Lu Qi, zbMATH 1422.93001, 2019) "The main purpose of this excellent monograph is to give a rigorous non-technical introduction to the most important and useful solution methods of various types of optimal stochastic control problems for jump diffusions and their applications. ... All the main results are illustrated by examples and exercises ... . This really helps the reader to understand the theory and to see how it can be applied. ... This book is a very useful text for students, researchers, and practitioners working in stochastic analysis ... ." (Pavel Gapeev, Zentralblatt MATH, Vol. 1074, 2005) "The focus is on the applied aspect of the theory of control diffusion processes with jumps, particularly in finance and economy. ... A relatively large number of examples and exercises (with solutions) is provided, mainly typical models in finance, but also examples in biology, physics, or engineering. ... Summing up, this book is a very good addition to the stochastic control literature ... ." (Jose-Luis Menaldi, SIAM Reviews, Vol. 47 (4), 2005) "In recent time optimal control in finance is connected with modelling of stock prices by Lévy processes and considering of different transaction costs. In the last ten years the authors and their collaborators obtained a lot of results on this field. The publication of this work in the present book seems to be a good way to attain a big audience. ... It is useful for students and practitioners in stochastic analysis." (Hans-Joachim Girlich, OR News, Issue 25, November, 2005)
Number of Volumes
1 vol.
Table Of Content
Preface.- Stochastic Calculus with Lévy Processes.- Financial Markets Modelled by Jump Diffusions.- Optimal Stopping of Jump Diffusions.- Backward Stochastic Differential Equations and Risk Measures.- Stochastic Control of Jump Diffusions.- Stochastic Differential Games.- Combined Optimal Stopping and Stochastic Control of Jump Diffusions.- Viscosity Solutions.- Solutions of Selected Exercises.- References.- Notation and Symbols.
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 L vy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed., 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., Here is a rigorous introduction to solution methods of stochastic control problems for jump diffusions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a section on optimal stopping with delayed information.
LC Classification Number
T57.6-57.97
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