Applied Stochastic Control of Jump Diffusions
Publication year: 2007
ISBN: 978-3-540-69826-5
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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 for jump diffusions and its applications.
Subject: Mathematics and Statistics, Probability Theory and Stochastic Processes, Operations Research, Management Science, Operator Theory, Quantitative Finance, Lévy process, Lévy processes, Stochastic calculus, impulse control, jump diffusion, jump diffusions, linear optimization, measure theory, stochastic control, quantitative finance
