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Applied Stochastic Control of Jump Diffusions (Universitext) by Bernt Øksendal, Agnès Sulem, Bernt Oksendal, Agnes Sulem, B. K. Øksendal is a mathematics available to read on EtoBox.
What is Applied Stochastic Control of Jump Diffusions (Universitext) about?
<p>Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of
Who reads Applied Stochastic Control of Jump Diffusions (Universitext)?
It is typically read by self-directed learners exploring a subject in depth.
Common subject areas: history, science, philosophy, social sciences.
- Author
- Bernt Øksendal, Agnès Sulem, Bernt Oksendal, Agnes Sulem, B. K. Øksendal
- Publisher
- Springer-Verlag Berlin Heidelberg
- Published
- 2007
- Language
- EN
- ISBN
- 9786611329235
- Category
- mathematics
- Subjects
- Computer Science, Finance, Mathematics
- Updated
- 2026-03-24
Other editions & translations
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