Bernt Oksendal and Agnes Sulem Applied Stochastic Control of Jump Diffusions 9783540698258

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Автор: Bernt Oksendal and Agnes Sulem
Название: Applied Stochastic Control of Jump Diffusions
Перевод названия: Бернт Оксендол: Прикладной стохастического контроля диффузии прыжков
ISBN: 9783540698258
Издательство: Springer
Классификация:

Основы высшей математики и математический анализ

Вероятность и статистика

Оптимизация

Прикладная математика

Стохастика

ISBN-10: 3540698256
Обложка/Формат: Paperback
Страницы: 276
Вес: 0.42 кг.
Дата издания: 21.05.2007
Серия: Universitext
Язык: English
Издание: 2nd ed. 2007
Иллюстрации: 27 illustrations, black and white; xiv, 262 p. 27 illus.
Размер: 23.22 x 16.03 x 1.65 cm
Читательская аудитория: Professional & vocational
Ссылка на Издательство: Link
Рейтинг:
Поставляется из: Германии
Описание: The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. 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. 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.In the 2nd edition there is a new chapter on optimal control of stochastic partial differential equations driven by LГ©vy processes. There is also a new section on optimal stopping with delayed information. Moreover, corrections and other improvements have been made.
Дополнительное описание: Main Subject: Mathematics
Edition: 2nd ed.
Bibliography: XIV, 262 p. 27 illus.
Subject1: M26024 Operations Research, Mathematical Programming
Subject2: M12139 Operator Theory
Publication class: Students
Product category: Graduate te

Applied Stochastic Control of Jump Diffusions, Bernt Oksendal and Agnes Sulem