Applied Stochastic Control of Jump Diffusions

Oksendal, Bernt, Sulem, Agnes

Applied Stochastic Control of Jump Diffusions
  • 出版商: Springer
  • 出版日期: 2019-05-02
  • 售價: $2,930
  • 貴賓價: 9.5 折 $2,784
  • 語言: 英文
  • 頁數: 436
  • 裝訂: Quality Paper - also called trade paper
  • ISBN: 3030027791
  • ISBN-13: 9783030027797

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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.

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.

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