Item description for Applied Stochastic Control of Jump Diffusions (Universitext) by Bernt Oskendal & Agnes Sulem...
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 its applications. 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. 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.In the 2nd edition there is a new chapter on optimal control of stochastic partial differential equations driven by LAcvy processes. There is also a new section on optimal stopping with delayed information. Moreover, corrections and other improvements have been made.
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Est. Packaging Dimensions: Length: 0.75" Width: 6.25" Height: 9" Weight: 0.95 lbs.
Release Date Jun 28, 2007
ISBN 3540698256 ISBN13 9783540698258
Reviews - What do customers think about Applied Stochastic Control of Jump Diffusions (Universitext)?
A really good book! Jul 18, 2006
I found this book interesting and to the point both mathematically and in explaining some of the financial problems which can be solved using the theory. It's easy to read and understand, even though some of the proofs can be a little hard in the first reading. The exercises, and the solutions (yes, there is a chapter devoted to solutions of most of the exercises) make the understanding of the theory complete. I really liked this book!