Applied stochastic control of jump diffusions / Bernt Øksendal, Agnès Sulem.
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.
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Ebook |
| Language: | English |
| Published: |
Cham, Switzerland :
Springer,
2019.
|
| Edition: | Third edition. |
| Series: | Universitext,
|
| Subjects: | |
| Online Access: | Click here to view this book |
| Summary: | 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. |
|---|---|
| Physical Description: | 1 online resource (xvi, 436 pages) : illustrations (some color) |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 3030027813 9783030027810 |
| ISSN: | 0172-5939 |