Applied Stochastic Control of Jump Diffusions
暫譯: 跳躍擴散的應用隨機控制

Oksendal, Bernt, Sulem, Agnes

Applied Stochastic Control of Jump Diffusions
  • 出版商: Springer
  • 出版日期: 2019-05-02
  • 售價: $2,990
  • 貴賓價: 9.5 折 $2,841
  • 語言: 英文
  • 頁數: 436
  • 裝訂: Quality Paper - also called trade paper
  • ISBN: 3030027791
  • ISBN-13: 9783030027797

    • 海外代購書籍(需單獨結帳)

商品描述

Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by L vy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

商品描述(中文翻譯)

這裡是對各類隨機控制問題（特別是跳躍擴散）的最重要和最有用的解決方法的嚴謹介紹及其應用。討論包括動態規劃方法和最優原則方法，以及它們之間的關係。本文強調現實世界的應用，主要集中在金融領域。結果通過範例進行說明，並在每章結尾提供完整解答的練習題。第二版新增了一章關於由 L vy 過程驅動的隨機偏微分方程的最優控制，還新增了一個關於延遲信息的最優停止的新部分。假設讀者具備隨機分析、測度理論和偏微分方程的基本知識。

作者簡介

Agnès Sulem is a researcher at INRIA, Paris. She leads the MATHRISK research group and the Premia consortium for quantitative finance. She teaches in the doctoral programs at University Paris-Dauphine and Luxemburg University. Her fields of research are stochastic control, numerical and stochastic analysis, and mathematical finance. She is the author of 2 books and about 100 research articles. Besides mathematics, Agnès Sulem enjoys playing the violin.

Bernt Øksendal is professor emeritus at the University of Oslo (UiO) and associate professor and Honorary Doctor at the Norwegian School of Economics (NHH). He was awarded the Nansen Prize in 1996 and the UiO Research Prize in 2014. His interests are in stochastic analysis, stochastic control and applications, especially in biology and finance. He has over 200 publications, including 10 books. His other interests and pleasures include jogging, music, science and nature.

作者簡介(中文翻譯)

Agnès Sulem 是巴黎國立資訊與自動化研究所 (INRIA) 的研究員。她領導 MATHRISK 研究小組及 Premia 量化金融聯盟。她在巴黎多芬大學 (University Paris-Dauphine) 和盧森堡大學 (Luxemburg University) 的博士課程中授課。她的研究領域包括隨機控制、數值與隨機分析以及數學金融。她是兩本書籍和約一百篇研究文章的作者。除了數學，Agnès Sulem 還喜歡拉小提琴。

Bernt Øksendal 是奧斯陸大學 (University of Oslo, UiO) 的名譽教授，以及挪威經濟學院 (Norwegian School of Economics, NHH) 的副教授和榮譽博士。他於1996年獲得南森獎 (Nansen Prize)，並於2014年獲得 UiO 研究獎 (UiO Research Prize)。他的研究興趣包括隨機分析、隨機控制及其應用，特別是在生物學和金融領域。他擁有超過200篇的出版物，包括10本書籍。他的其他興趣和愛好包括慢跑、音樂、科學和自然。

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