Hidden Bibliographic Details
| Other authors / contributors: | Sulem, Agnès.
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| ISBN: | 3540140239 (acid-free paper)
9783540140238 (acid-free paper)
9783540264415
3540264418
6611329234
9786611329235
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| Notes: | Includes bibliographical references (p. [197]-201) and index.
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| 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 Hamilton-Jacobi-Bellman 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.
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| Other form: | Print version: Øksendal, B.K. (Bernt Karsten), 1945- Applied stochastic control of jump diffusions. Berlin ; New York : Springer, c2005 3540140239 9783540140238
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