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… mais…
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… mais…
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 (i.e. solutions of stochastic differential equations driven by Lévy processes) and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. There are also chapters on the viscosity solution formulation and numerical methods. 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. Books > Mathematics eBook, Springer Shop<
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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… mais…
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 (i.e. solutions of stochastic differential equations driven by Lévy processes) and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. There are also chapters on the viscosity solution formulation and numerical methods. 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., Springer<
Springer.com
Nr. 978-3-540-26441-5. Custos de envio:Worldwide free shipping, , DE. (EUR 0.00) Details...
(*) Livro esgotado significa que o livro não está disponível em qualquer uma das plataformas associadas buscamos.
Applied Stochastic Control of Jump Diffusions ab 39.99 € als pdf eBook: . Aus dem Bereich: eBooks, Wirtschaft, https://media.hugendubel.de/shop/coverscans/192/19293123_19293123_big.jpg
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… mais…
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… mais…
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 (i.e. solutions of stochastic differential equations driven by Lévy processes) and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. There are also chapters on the viscosity solution formulation and numerical methods. 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. Books > Mathematics eBook, Springer Shop<
- new in stock. Custos de envio:zzgl. Versandkosten., mais custos de envio
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… mais…
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 (i.e. solutions of stochastic differential equations driven by Lévy processes) and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. There are also chapters on the viscosity solution formulation and numerical methods. 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., Springer<
Nr. 978-3-540-26441-5. Custos de envio:Worldwide free shipping, , DE. (EUR 0.00)
Applied Stochastic Control of Jump Diffusions ab 39.99 € als pdf eBook: . Aus dem Bereich: eBooks, Wirtschaft, https://media.hugendubel.de/shop/coverscans/192/19293123_19293123_big.jpg
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Dados bibliográficos do melhor livro correspondente
Dados detalhados do livro - Applied Stochastic Control of Jump Diffusions
EAN (ISBN-13): 9783540264415 Ano de publicação: 2006 Editor/Editora: Springer Berlin Heidelberg
Livro na base de dados desde 2009-04-14T11:48:17-03:00 (Sao Paulo) Página de detalhes modificada pela última vez em 2023-12-07T11:52:13-03:00 (Sao Paulo) Número ISBN/EAN: 9783540264415
Número ISBN - Ortografia alternativa: 978-3-540-26441-5 Ortografia alternativa e termos de pesquisa relacionados: Autor do livro: bernt, oksendal Título do livro: applied stochastic control jump diffusions
Dados da editora
Autor: Bernt Øksendal Título: Universitext; Applied Stochastic Control of Jump Diffusions Editora: Springer; Springer Berlin 214 Páginas Ano de publicação: 2005-11-25 Berlin; Heidelberg; DE Língua: Inglês 41,20 € (DE)
EA; E107; eBook; Nonbooks, PBS / Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik; Wahrscheinlichkeitsrechnung und Statistik; Verstehen; Lévy processes; Stochastic calculus; impulse control; jump diffusion; jump diffusions; measure theory; stochastic control; quantitative finance; B; Probability Theory; Operations Research, Management Science; Operator Theory; Mathematics in Business, Economics and Finance; Mathematics and Statistics; Stochastik; Unternehmensforschung; Funktionalanalysis und Abwandlungen; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; BC
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 of Diffusions by Iterated Optimal Stopping.- Combined Stochastic Control and Impulse Control of Jump Diffusions.- Viscosity Solutions.- Solutions of Selected Exercises.
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