Screen LibraryApplied stochastic control of jump diffusions
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| Main Authors: | |
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| Corporate Authors: | |
| Group Author: | |
| Published: |
Springer,
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| Publisher Address: | Berlin |
| Publication Dates: | c2007. |
| Literature type: | Book |
| Language: | English |
| Edition: | 2nd ed. |
| Series: |
Universitext |
| Subjects: | |
| Online Access: |
http://dx.doi.org/10.1007/978-3-540-69826-5 |
| Carrier Form: | xiii, 257 p.: ill. ; 24 cm. |
| ISBN: |
9783540698265 (electronic bk.) 3540698264 (electronic bk.) |
| Index Number: | O231 |
| CLC: | O231.3 |
| Contents: |
Includes bibliographical references (p. [243]-249) and index. 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. |