| 期刊全称 | Applied Stochastic Control of Jump Diffusions | | 影响因子2023 | Bernt Øksendal,Agnès Sulem | | 视频video | | | 发行地址 | Includes supplementary material: | | 学科分类 | Universitext | | 图书封面 |  | | 影响因子 | .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.. | | Pindex | Book 20051st edition |
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发表于 2025-3-21 16:38:36
