Applied stochastic control of jump diffusions /

Applied stochastic control of jump diffusions /

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Bibliographic Details
Author / Creator:	Øksendal, B. K. (Bernt Karsten), 1945-
Edition:	2nd ed.
Imprint:	Berlin : Springer, c2007.
Description:	1 online resource (xiii, 257 p.) : ill.
Language:	English
Series:	Universitext Universitext.
Subject:	Stochastic control theory. Stochastic processes. Viscosity solutions. Stochastic control theory. Stochastic processes. Viscosity solutions.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/8883360

Hidden Bibliographic Details
Other authors / contributors:	Sulem, Agnès.
ISBN:	9783540698265 3540698264 3540698256 9783540698258 9786611351533 6611351531
Notes:	Includes bibliographical references (p. [243]-249) and index. Description based on print version record.
Summary:	"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 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.
Other form:	Print version: Øksendal, B.K. (Bernt Karsten), 1945- Applied stochastic control of jump diffusions. 2nd ed. Berlin : Springer, c2007 3540698256 9783540698258

Table of Contents:

Stochastic calculus with jump diffusions
Optimal stopping of jump diffusions
Stochastic control of jump diffusions
Combined optimal stopping and stochastic control of jump diffusions
Singular control for jump diffusions
Impulse control of jump diffusions
Approximating impulse control by iterated optimal stopping
Combined stochastic control and impulse control of jump diffusions
Viscosity solutions
Optimal control of random jump fields and partial information control
Solutions of selected exercises
References
Notation and symbols
Index.