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 stochastic partial
differential equations driven by Levy processes, and a new section
on optimal stopping with delayed information. Basic knowledge of
stochastic analysis, measure theory and partial differential
equations is assumed.
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