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The Resource Applied Stochastic Control of Jump Diffusions, by Bernt Øksendal, Agnès Sulem, (electronic resource)

Applied Stochastic Control of Jump Diffusions, by Bernt Øksendal, Agnès Sulem, (electronic resource)

Label
Applied Stochastic Control of Jump Diffusions
Title
Applied Stochastic Control of Jump Diffusions
Statement of responsibility
by Bernt Øksendal, Agnès Sulem
Creator
Contributor
Author
Subject
Language
eng
Summary
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.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Øksendal, Bernt
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
Sulem, Agnès
Series statement
  • Universitext,
  • Springer eBooks
  • Springer eBooks.
http://library.link/vocab/subjectName
  • Distribution (Probability theory
  • Finance
  • Mathematical optimization
  • Operator theory
  • Systems theory
Label
Applied Stochastic Control of Jump Diffusions, by Bernt Øksendal, Agnès Sulem, (electronic resource)
Link
https://link-springer-com.ezproxy.eui.eu/book/10.1007/978-3-030-02781-0
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
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
Control code
978-3-030-02781-0
Dimensions
unknown
Edition
3rd ed. 2019.
Extent
1 online resource (XVI, 436 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783030027810
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
26 illustrations, 3 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1099659539
Label
Applied Stochastic Control of Jump Diffusions, by Bernt Øksendal, Agnès Sulem, (electronic resource)
Link
https://link-springer-com.ezproxy.eui.eu/book/10.1007/978-3-030-02781-0
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
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
Control code
978-3-030-02781-0
Dimensions
unknown
Edition
3rd ed. 2019.
Extent
1 online resource (XVI, 436 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783030027810
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
26 illustrations, 3 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1099659539

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