Applied Stochastic Control of Jump Diffusions
- Author
- Bernt Øksendal, Agnès Sulem
- Publication Year
- 2007
- Publisher
- Springer
- Language
- English
- Document Type
- Book
- Faculty / Subject Heading
- Mathematics and Statistics
- Download Book Read book
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.
Keywords: 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
