Applied Stochastic Control of Jump Diffusions

Name: Applied Stochastic Control of Jump Diffusions
Brand: Springer Nature
SKU: 9783540264415
Availability: InStock

Best Price:
Buy Applied Stochastic Control of Jump Diffusions for $44.99 at @ Link.springer.com
No coupon is required — this is the standard retail price.

Set a price drop alert to never miss an offer.

1 Offer Price Range: $44.99 - $44.99

BEST PRICE

Single Product Purchase

$44.99

@ Link.springer.com BUY Now

Price Comparison

Seller	Contact Seller	List Price	On Sale	Shipping	Best Promo	Final Price	Volume Discount	Financing	Availability	Seller's Page
BEST PRICE 1 Product Purchase @ Link.springer.com		$44.99	$44.99			$44.99		See Site	In stock	Visit Store

Product Details

Brand

Springer Nature

Manufacturer

N/A

Part Number

GTIN

9783540264415

Condition

New

Product Description

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 (i.e. solutions of stochastic differential equations driven by Lvy processes) 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 are also chapters 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.

Available Colors

N/A

Available Sizes

N/A