The Resource Applied stochastic control of jump diffusions, Bernt Oksendal, Agnès Sulem
Applied stochastic control of jump diffusions, Bernt Oksendal, Agnès Sulem
Resource Information
The item Applied stochastic control of jump diffusions, Bernt Oksendal, Agnès Sulem represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Applied stochastic control of jump diffusions, Bernt Oksendal, Agnès Sulem represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 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 HamiltonJacobiBellman 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
 Language
 eng
 Extent
 1 online resource (x, 208 pages)
 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
 Isbn
 9786611329235
 Label
 Applied stochastic control of jump diffusions
 Title
 Applied stochastic control of jump diffusions
 Statement of responsibility
 Bernt Oksendal, Agnès Sulem
 Subject

 Distribution (Probability theory)
 Finance
 Mathematics
 Operations Research, Mathematical Programming
 Operations research
 Operator theory
 Probability Theory and Stochastic Processes
 Quantitative Finance
 Stochastic control theory
 Stochastic control theory
 Stochastic control theory
 Stochastic processes
 Stochastic processes
 Stochastic processes
 Stochastische processen
 Viscosity solutions
 Viscosity solutions
 Viscosity solutions
 Controleleer
 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 HamiltonJacobiBellman 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
 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
 Bibliography note
 Includes bibliographical references (pages 197201) 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
 9783540140238
 Specific material designation
 remote
 System control number
 (OCoLC)262677765
 Label
 Applied stochastic control of jump diffusions, Bernt Oksendal, Agnès Sulem
 Bibliography note
 Includes bibliographical references (pages 197201) 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
 9783540140238
 Specific material designation
 remote
 System control number
 (OCoLC)262677765
Subject
 Distribution (Probability theory)
 Finance
 Mathematics
 Operations Research, Mathematical Programming
 Operations research
 Operator theory
 Probability Theory and Stochastic Processes
 Quantitative Finance
 Stochastic control theory
 Stochastic control theory
 Stochastic control theory
 Stochastic processes
 Stochastic processes
 Stochastic processes
 Stochastische processen
 Viscosity solutions
 Viscosity solutions
 Viscosity solutions
 Controleleer
Member of
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Appliedstochasticcontrolofjumpdiffusions/2xKDxVBbN8/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Appliedstochasticcontrolofjumpdiffusions/2xKDxVBbN8/">Applied stochastic control of jump diffusions, Bernt Oksendal, Agnès Sulem</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>