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… Mehr…
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… Mehr…
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 Lévy 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. Books > Mathematics eBook, Springer Shop<
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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… Mehr…
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 Lévy 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., Springer<
Springer.com
Nr. 978-3-540-26441-5. Versandkosten:Worldwide free shipping, , DE. (EUR 0.00) Details...
(*) Derzeit vergriffen bedeutet, dass dieser Titel momentan auf keiner der angeschlossenen Plattform verfügbar ist.
Applied Stochastic Control of Jump Diffusions ab 39.99 € als pdf eBook: . Aus dem Bereich: eBooks, Wirtschaft, https://media.hugendubel.de/shop/coverscans/192/19293123_19293123_big.jpg
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… Mehr…
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… Mehr…
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 Lévy 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. Books > Mathematics eBook, Springer Shop<
- new in stock. Versandkosten:zzgl. Versandkosten.
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… Mehr…
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 Lévy 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., Springer<
Nr. 978-3-540-26441-5. Versandkosten:Worldwide free shipping, , DE. (EUR 0.00)
Applied Stochastic Control of Jump Diffusions ab 39.99 € als pdf eBook: . Aus dem Bereich: eBooks, Wirtschaft, https://media.hugendubel.de/shop/coverscans/192/19293123_19293123_big.jpg
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Detailangaben zum Buch - Applied Stochastic Control of Jump Diffusions
EAN (ISBN-13): 9783540264415 Erscheinungsjahr: 2006 Herausgeber: Springer Berlin Heidelberg
Buch in der Datenbank seit 2009-04-14T16:48:17+02:00 (Berlin) Detailseite zuletzt geändert am 2023-12-07T15:52:13+01:00 (Berlin) ISBN/EAN: 9783540264415
ISBN - alternative Schreibweisen: 978-3-540-26441-5 Alternative Schreibweisen und verwandte Suchbegriffe: Autor des Buches: bernt, oksendal Titel des Buches: applied stochastic control jump diffusions
Daten vom Verlag:
Autor/in: Bernt Øksendal Titel: Universitext; Applied Stochastic Control of Jump Diffusions Verlag: Springer; Springer Berlin 214 Seiten Erscheinungsjahr: 2005-11-25 Berlin; Heidelberg; DE Sprache: Englisch 41,20 € (DE)
EA; E107; eBook; Nonbooks, PBS / Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik; Wahrscheinlichkeitsrechnung und Statistik; Verstehen; Lévy processes; Stochastic calculus; impulse control; jump diffusion; jump diffusions; measure theory; stochastic control; quantitative finance; B; Probability Theory; Operations Research, Management Science; Operator Theory; Mathematics in Business, Economics and Finance; Mathematics and Statistics; Stochastik; Unternehmensforschung; Funktionalanalysis und Abwandlungen; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; BC
Stochastic Calculus with Jump diffusions.- Optimal Stopping of Jump Diffusions.- Stochastic Control of Jump Diffusions.- Combined Optimal Stopping and Stochastic Control of Jump Diffusions.- Singular Control for Jump Diffusions.- Impulse Control of Jump Diffusions.- Approximating Impulse Control of Diffusions by Iterated Optimal Stopping.- Combined Stochastic Control and Impulse Control of Jump Diffusions.- Viscosity Solutions.- Solutions of Selected Exercises.
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