Coverart for item
The Resource Applied stochastic control of jump diffusions, Bernt Oksendal, Agnès Sulem

Applied stochastic control of jump diffusions, Bernt Oksendal, Agnès Sulem

Label
Applied stochastic control of jump diffusions
Title
Applied stochastic control of jump diffusions
Statement of responsibility
Bernt Oksendal, Agnès Sulem
Creator
Contributor
Subject
Language
eng
Summary
"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 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 is also a chapter 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."--Jacket
Member of
Cataloging source
COO
http://library.link/vocab/creatorDate
1945-
http://library.link/vocab/creatorName
Øksendal, B. K.
Dewey number
629.8/312
Illustrations
illustrations
Index
index present
LC call number
QA402.37
LC item number
.O37 2005
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Sulem, Agnès
Series statement
Universitext
http://library.link/vocab/subjectName
  • Stochastic control theory
  • Stochastic processes
  • Viscosity solutions
  • Finance
  • Operations research
  • Operator theory
  • Mathematics
  • Operations Research, Mathematical Programming
  • Probability Theory and Stochastic Processes
  • Quantitative Finance
  • Distribution (Probability theory)
  • Stochastic control theory
  • Stochastic processes
  • Viscosity solutions
  • Stochastische processen
  • Controleleer
Label
Applied stochastic control of jump diffusions, Bernt Oksendal, Agnès Sulem
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 197-201) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Stochastic calculus with jump diffusions -- Optimal stopping of jump diffusions -- Stochastic control of jump diffusions -- Combined optimal stopping and stochastic control of jump diffusions -- Impulse control of jump diffusions -- Approximating impulse control of diffusions by iterated optimal stopping -- Combined stochastic control and impulse control of jump diffusions -- Singular control of jump diffusions -- Viscosity solutions -- Numerical solutions methods -- Appendices: Solutions of the exercises
Control code
262677765
Dimensions
unknown
Extent
1 online resource (x, 208 pages)
Form of item
online
Isbn
9786611329235
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/b137590
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
978-3-540-14023-8
Specific material designation
remote
System control number
(OCoLC)262677765
Label
Applied stochastic control of jump diffusions, Bernt Oksendal, Agnès Sulem
Publication
Bibliography note
Includes bibliographical references (pages 197-201) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Stochastic calculus with jump diffusions -- Optimal stopping of jump diffusions -- Stochastic control of jump diffusions -- Combined optimal stopping and stochastic control of jump diffusions -- Impulse control of jump diffusions -- Approximating impulse control of diffusions by iterated optimal stopping -- Combined stochastic control and impulse control of jump diffusions -- Singular control of jump diffusions -- Viscosity solutions -- Numerical solutions methods -- Appendices: Solutions of the exercises
Control code
262677765
Dimensions
unknown
Extent
1 online resource (x, 208 pages)
Form of item
online
Isbn
9786611329235
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/b137590
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
978-3-540-14023-8
Specific material designation
remote
System control number
(OCoLC)262677765

Library Locations

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      38.944491 -92.326012
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