Applied stochastic control of jump diffusions / Bernt Oksendal, Agnès Sulem.
"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 stochast...
Saved in:
| Online Access: |
Full Text (via Springer) |
|---|---|
| Main Author: | |
| Other Authors: | |
| Format: | eBook |
| Language: | English |
| Published: |
Berlin ; New York :
Springer,
©2005.
|
| Series: | Universitext.
|
| Subjects: |
MARC
| LEADER | 00000cam a22000004a 4500 | ||
|---|---|---|---|
| 001 | b5507609 | ||
| 006 | m o d | ||
| 007 | cr ||||||||||| | ||
| 008 | 041012s2005 gw a ob 001 0 eng c | ||
| 005 | 20240423170625.8 | ||
| 019 | |a 288202721 |a 317881549 |a 613485188 |a 739126624 |a 756420305 |a 785779781 |a 880025384 | ||
| 020 | |a 3540140239 |q (acid-free paper) | ||
| 020 | |a 9783540140238 |q (acid-free paper) | ||
| 020 | |a 9783540264415 | ||
| 020 | |a 3540264418 | ||
| 035 | |a (OCoLC)spr262677765 | ||
| 035 | |a (OCoLC)262677765 |z (OCoLC)288202721 |z (OCoLC)317881549 |z (OCoLC)613485188 |z (OCoLC)739126624 |z (OCoLC)756420305 |z (OCoLC)785779781 |z (OCoLC)880025384 | ||
| 037 | |a spr10.1007/b137590 | ||
| 040 | |a COO |b eng |e pn |c COO |d GW5XE |d W2U |d NUI |d DKU |d OCLCQ |d DAY |d MNU |d E7B |d OCLCO |d OCLCQ |d OCLCF |d YDXCP |d IDEBK |d SLY |d OCLCQ | ||
| 042 | |a pcc | ||
| 049 | |a GWRE | ||
| 050 | 4 | |a QA402.37 |b .O37 2005 | |
| 100 | 1 | |a Øksendal, B. K. |q (Bernt Karsten), |d 1945- | |
| 245 | 1 | 0 | |a Applied stochastic control of jump diffusions / |c Bernt Oksendal, Agnès Sulem. |
| 260 | |a Berlin ; |a New York : |b Springer, |c ©2005. | ||
| 300 | |a 1 online resource (x, 208 pages) : |b illustrations. | ||
| 336 | |a text |b txt |2 rdacontent. | ||
| 337 | |a computer |b c |2 rdamedia. | ||
| 338 | |a online resource |b cr |2 rdacarrier. | ||
| 490 | 1 | |a Universitext. | |
| 504 | |a Includes bibliographical references (pages 197-201) and index. | ||
| 505 | 0 | |a Stochastic calculus with jump diffusions -- Optimal stopping of jump diffusions -- Stochastic control of jump diffusions -- Combined optimal stopping and stochastic control of 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 -- Singular control of jump diffusions -- Viscosity solutions -- Numerical solutions methods -- Appendices: Solutions of the exercises. | |
| 520 | 1 | |a "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. | |
| 650 | 0 | |a Stochastic control theory. | |
| 650 | 0 | |a Stochastic processes. | |
| 650 | 0 | |a Viscosity solutions. | |
| 650 | 7 | |a Stochastic control theory. |2 fast |0 (OCoLC)fst01133503. | |
| 650 | 7 | |a Stochastic processes. |2 fast |0 (OCoLC)fst01133519. | |
| 650 | 7 | |a Viscosity solutions. |2 fast |0 (OCoLC)fst01167825. | |
| 700 | 1 | |a Sulem, Agnès. | |
| 776 | 0 | 8 | |i Print version: |a Øksendal, B.K. (Bernt Karsten), 1945- |t Applied stochastic control of jump diffusions. |d Berlin ; New York : Springer, ©2005 |z 3540140239 |z 9783540140238 |w (DLC) 2004114982 |w (OCoLC)56697109. |
| 830 | 0 | |a Universitext. | |
| 856 | 4 | 0 | |u https://colorado.idm.oclc.org/login?url=http://link.springer.com/10.1007/b137590 |z Full Text (via Springer) |
| 907 | |a .b55076099 |b 07-02-19 |c 06-19-09 | ||
| 998 | |a web |b 05-01-17 |c f |d b |e - |f eng |g gw |h 0 |i 1 | ||
| 907 | |a .b55076099 |b 05-09-17 |c 06-19-09 | ||
| 915 | |a 4 | ||
| 956 | |a Springer e-books | ||
| 956 | |b Springer Nature - Springer Mathematics and Statistics eBooks 2005 English International | ||
| 956 | |b Springer Nature - Springer Mathematics and Statistics eBooks 2005 English International | ||
| 999 | f | f | |i 7cd945bb-0f14-5f67-89ca-6a22d850f414 |s 358769e6-c2c5-5c66-8560-fc2bee4e969c |
| 952 | f | f | |p Can circulate |a University of Colorado Boulder |b Online |c Online |d Online |e QA402.37 .O37 2005 |h Library of Congress classification |i Ebooks, Prospector |n 1 |