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Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics

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Applied Stochastic Control of Jump Diffusions (Paperback, 3rd ed. 2019) Loot Price: R1,936

Discovery Miles 19 360

Repayment Terms: R181 pm x 12*

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Applied Stochastic Control of Jump Diffusions (Paperback, 3rd ed. 2019): Bernt Oksendal, Agnes Sulem

Applied Stochastic Control of Jump Diffusions (Paperback, 3rd ed. 2019)

Bernt Oksendal, Agnes Sulem

Series: Universitext

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Loot Price R1,936 Discovery Miles 19 360 | Repayment Terms: R181 pm x 12*

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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.

General

Imprint:	Springer Nature Switzerland AG
Country of origin:	Switzerland
Series:	Universitext
Release date:	April 2019
First published:	2019
Authors:	Bernt Oksendal • Agnes Sulem
Dimensions:	235 x 155mm (L x W)
Format:	Paperback
Pages:	436
Edition:	3rd ed. 2019
ISBN-13:	978-3-03-002779-7
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics Promotions
LSN:	3-03-002779-1
Barcode:	9783030027797