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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 for jump diffusions 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. In the 2nd edition there is a new chapter on optimal control of stochastic partial differential equations driven by Lévy processes. There is also a new section on optimal stopping with delayed information. Moreover, corrections and other improvements have been made.

Stochastic control theory. --- Stochastic processes. --- Viscosity solutions. --- Hamilton-Jacobi equations --- Random processes --- Probabilities --- Control theory --- Stochastic processes --- Distribution (Probability theory. --- Operator theory. --- Finance. --- Probability Theory and Stochastic Processes. --- Operations Research, Management Science. --- Operator Theory. --- Quantitative Finance. --- Funding --- Funds --- Economics --- Currency question --- Functional analysis --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities. --- Operations research. --- Management science. --- Economics, Mathematical . --- Mathematical economics --- Econometrics --- Mathematics --- Quantitative business analysis --- Management --- Problem solving --- Operations research --- Statistical decision --- Operational analysis --- Operational research --- Industrial engineering --- Management science --- Research --- System theory --- Probability --- Statistical inference --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Methodology --- Economics, Mathematical.

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

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 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. In the 2nd edition there is a new chapter on optimal control of stochastic partial differential equations driven by Lévy processes. There is also a new section on optimal stopping with delayed information. Moreover, corrections and other improvements have been made.

Quantitative methods (economics) --- Operator theory --- Operational research. Game theory --- Financial analysis --- analyse (wiskunde) --- stochastische analyse --- speltheorie --- financiële analyse --- operationeel onderzoek --- kansrekening