دانلود کتاب Applied Stochastic Control of Jump Diffusions

Name: Applied Stochastic Control of Jump Diffusions
Availability: InStock
Author: Bernt Øksendal
ISBN: 3540698256, 3540140239, 9783540698265, 97835406982

by Bernt Øksendal, Agnès Sulem

عنوان فارسی: کاربردی تصادفی کنترل پرش اشاعه ها
سال: 2007
ویرایش: 2nd
زبان: انگلیسی
تعداد صفحه (نسخه چاپی - نسخه الکترونیکی): 215-215
شابک: 3540698256, 3540140239, 9783540698265, 97835406982
نوع فایل: PDF دانلود نرم افزار مطالعه
حجم: 2.00 مگابایت

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جزییات کتاب

Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by L?vy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.