Applied stochastic control of jump diffusions /
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| Author / Creator: | Øksendal, B. K. (Bernt Karsten), 1945- author. |
|---|---|
| Edition: | Third edition. |
| Imprint: | Cham, Switzerland : Springer, 2019. |
| Description: | 1 online resource (xvi, 436 pages) : illustrations (some color) |
| Language: | English |
| Series: | Universitext, 0172-5939 Universitext, |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/11873831 |
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| 100 | 1 | |a Øksendal, B. K. |q (Bernt Karsten), |d 1945- |e author. |0 http://id.loc.gov/authorities/names/n78043740 | |
| 245 | 1 | 0 | |a Applied stochastic control of jump diffusions / |c Bernt Øksendal, Agnès Sulem. |
| 250 | |a Third edition. | ||
| 264 | 1 | |a Cham, Switzerland : |b Springer, |c 2019. | |
| 300 | |a 1 online resource (xvi, 436 pages) : |b illustrations (some color) | ||
| 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, |x 0172-5939 | |
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Online resource; title from PDF title page (SpringerLink, viewed May 2, 2019). | |
| 505 | 0 | |a Intro; Preface to the Third Edition; Preface to the Second Edition; Preface to the First Edition; Contents; 1 Stochastic Calculus with Lévy Processes; 1.1 Basic Definitions and Results on Lévy Processes; 1.2 The Itô Formula and Related Results; 1.3 Lévy Stochastic Differential Equations; 1.4 The Girsanov Theorem and Applications; 1.5 Exercises; 2 Financial Markets Modeled by Jump Diffusions; 2.1 Market Definitions and Arbitrage; 2.2 Hedging and Completeness; 2.3 Option Pricing; 2.3.1 European Options; 2.3.2 American Options; 2.4 Exercises; 3 Optimal Stopping of Jump Diffusions | |
| 505 | 8 | |a 3.1 A General Formulation and a Verification Theorem3.2 Applications and Examples; 3.3 Optimal Stopping with Delayed Information; 3.4 Exercises; 4 Backward Stochastic Differential Equations and Risk Measures; 4.1 Examples; 4.2 General BSDEs with Jumps; 4.3 Linear BSDEs; 4.4 Comparison Theorems; 4.5 Convex Risk Measures and BSDEs; 4.5.1 Dynamic Risk Measures; 4.5.2 A Dual Representation of Convex Risk Measures; 4.6 Exercises; 5 Stochastic Control of Jump Diffusions; 5.1 The Dynamic Programming Approach; 5.2 Stochastic Maximum Principles for Partial Information Control | |
| 505 | 8 | |a 5.2.1 A Sufficient Maximum Principle5.2.2 A Necessary Maximum Principle; 5.2.3 The Relation Between the Maximum Principle and Dynamic Programming; 5.2.4 Utility Maximization; 5.2.5 Mean-Variance Portfolio Selection; 5.3 The Maximum Principle with Infinite Horizon; 5.3.1 A Sufficient Maximum Principle; 5.3.2 A Necessary Maximum Principle; 5.4 Optimal Control of FBSDEs by Means of Stochastic HJB Equations; 5.4.1 Optimal Control of FBSDEs; 5.4.2 Applications in Mathematical Finance; 5.5 Optimal Control of Stochastic Delay Equations; 5.5.1 A Sufficient Maximum Principle | |
| 505 | 8 | |a 5.5.2 A Necessary Maximum Principle5.5.3 Time-Advanced BSDEs with Jumps; 5.5.4 Example: Optimal Consumption from a Cash Flow with Delay; 5.6 Exercises; 6 Stochastic Differential Games; 6.1 Stochastic Differential (Markov) Games, HJB-Isaacs Equations; 6.1.1 Entropic Risk Minimization Example; 6.2 Stochastic Maximum Principles; 6.2.1 General (Non-zero) Stochastic Differential Games; 6.2.2 The Zero-Sum Game Case; 6.2.3 Proofs of the Stochastic Maximum Principles; 6.2.4 Risk Minimization by FBSDE Games; 6.3 Mean-Field Games; 6.3.1 Two Motivating Examples | |
| 505 | 8 | |a 6.3.2 General Mean-Field Non-zero Sum Games6.3.3 A Sufficient Maximum Principle; 6.3.4 A Necessary Maximum Principle; 6.3.5 Application to Model Uncertainty Control; 6.3.6 The Zero-Sum Game Case; 6.3.7 The Single Player Case; 6.4 Exercises; 7 Combined Optimal Stopping and Stochastic Control of Jump Diffusions; 7.1 Introduction; 7.2 A General Mathematical Formulation; 7.3 Applications; 7.4 Exercises; 8 Singular Control for Jump Diffusions; 8.1 An Illustrating Example; 8.2 A General Formulation; 8.3 Application to Portfolio Optimization with Transaction Costs; 8.4 Exercises | |
| 520 | |a Here is a rigorous introduction to solution methods of stochastic control problems for jump diffusions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a section on optimal stopping with delayed information. | ||
| 650 | 0 | |a Stochastic control theory. |0 http://id.loc.gov/authorities/subjects/sh92001443 | |
| 650 | 0 | |a Stochastic processes. |0 http://id.loc.gov/authorities/subjects/sh85128181 | |
| 650 | 0 | |a Viscosity solutions. |0 http://id.loc.gov/authorities/subjects/sh92004493 | |
| 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 | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Sulem, Agnès, |e author. |0 http://id.loc.gov/authorities/names/n2001009251 | |
| 776 | 0 | 8 | |i Print version: |a Øksendal, B.K. (Bernt Karsten), 1945- |t Applied stochastic control of jump diffusions. |b Third edition. |d Cham, Switzerland : Springer, 2019 |z 3030027791 |z 9783030027797 |w (OCoLC)1054371007 |
| 830 | 0 | |a Universitext, |x 0172-5939 |0 http://id.loc.gov/authorities/names/n42025686 | |
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| 928 | |t Library of Congress classification |a QA402.37 |l Online |c UC-FullText |u https://link.springer.com/10.1007/978-3-030-02781-0 |z Springer Nature |g ebooks |i 12561699 | ||