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Applied Stochastic Control of Jump Diffusions
Paperback
Series: Universitext
Business GeneralGeneral MathematicsProbability & Statistics
ISBN13: 9783030027797
Publisher: Springer Nature
Published: May 2 2019
Pages: 436
Weight: 1.39
Height: 0.92 Width: 6.14 Depth: 9.21
Language: English
The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and their applications. Both the dynamic programming method and the stochastic 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. 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.
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