# Applied Stochastic Control of Jump Diffusions (Universitext)

## Bernt Øksendal; Agnès Sulem

Note moyenne 4,33
( 3 avis fournis par Goodreads )

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

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

From the Back Cover :

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.

Review :

From the reviews:

"The main purpose of this excellent monograph is to give a rigorous non-technical introduction to the most important and useful solution methods of various types of optimal stochastic control problems for jump diffusions and their applications. ... All the main results are illustrated by examples and exercises ... . This really helps the reader to understand the theory and to see how it can be applied. ... This book is a very useful text for students, researchers, and practitioners working in stochastic analysis ... ." (Pavel Gapeev, Zentralblatt MATH, Vol. 1074, 2005)

"The focus is on the applied aspect of the theory of control diffusion processes with jumps, particularly in finance and economy. ... A relatively large number of examples and exercises (with solutions) is provided, mainly typical models in finance, but also examples in biology, physics, or engineering. ... Summing up, this book is a very good addition to the stochastic control literature ... ." (Jose-Luis Menaldi, SIAM Reviews, Vol. 47 (4), 2005)

"In recent time optimal control in finance is connected with modelling of stock prices by Lévy processes and considering of different transaction costs. In the last ten years the authors and their collaborators obtained a lot of results on this field. The publication of this work in the present book seems to be a good way to attain a big audience. ... It is useful for students and practitioners in stochastic analysis." (Hans-Joachim Girlich, OR News, Issue 25, November, 2005)

From the reviews of the second edition:

“The book is a research monograph ... . book includes many worked examples (and several more are unsolved exercises) that will serve the dedicated student in good stead. ... In summary, this is a good and relatively inexpensive book that should appeal to graduate students and researchers with some prior knowledge of stochastic control who now wish to learn about the jump diffusion case––especially, as applied in the areas of computational finance and economics.” (S. Ramamoorthy, Journal of the Operational Research Society, Vol. 62, 2011)

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

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## 1.Applied Stochastic Control of Jump Diffusions

Edité par Springer Berlin Heidelberg 2007-05-21, Berlin (2007)
ISBN 10 : 3540698256 ISBN 13 : 9783540698258
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Description du livre Springer Berlin Heidelberg 2007-05-21, Berlin, 2007. paperback. État : New. N° de réf. du libraire 9783540698258

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## 2.Applied Stochastic Control Of Jump Diffusions

ISBN 10 : 3540698256 ISBN 13 : 9783540698258
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Description du livre Paperback. État : New. This is an International Edition Brand New Paperback Same Title Author and Edition as listed. ISBN and Cover design differs. Similar Contents as U.S Edition. Standard Delivery within 6-14 business days ACROSS THE GLOBE. We can ship to PO Box address in US. International Edition Textbooks may bear a label "Not for sale in the U.S. or Canada" or "For sale in Asia only" or similar restrictions- printed only to discourage students from obtaining an affordable copy. US Court has asserted your right to buy and use International edition. Access code/CD may not provided with these editions. We may ship the books from multiple warehouses across the globe including Asia depending upon the availability of inventory. Printed in English. Customer satisfaction guaranteed. N° de réf. du libraire RU_9783540698258

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## 3.Applied Stochastic Control of Jump Diffusions (Universitext)

Edité par Springer
ISBN 10 : 3540698256 ISBN 13 : 9783540698258
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Description du livre Springer. État : New. 3540698256 This is an International Edition. Brand New, Paperback, Delivery within 6-14 business days, Similar Contents as U.S Edition, ISBN and Cover design may differ, printed in Black & White. Choose Expedited shipping for delivery within 3-8 business days. We do not ship to PO Box, APO , FPO Address. In some instances, subjects such as Management, Accounting, Finance may have different end chapter case studies and exercises. International Edition Textbooks may bear a label "Not for sale in the U.S. or Canada" and "Content may different from U.S. Edition" - printed only to discourage U.S. students from obtaining an affordable copy. The U.S. Supreme Court has asserted your right to purchase international editions, and ruled on this issue. Access code/CD is not provided with these editions , unless specified. We may ship the books from multiple warehouses across the globe, including India depending upon the availability of inventory storage. Customer satisfaction guaranteed. N° de réf. du libraire HU_9783540698258

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## 4.Applied Stochastic Control of Jump Diffusions (Universitext)

Edité par Springer (2010)
ISBN 10 : 3540698256 ISBN 13 : 9783540698258
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Description du livre Springer, 2010. État : New. Here is a rigorous introduction to solution methods of stochastic control problems for jump diffusions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Levy processes, and a section on optimal stopping with delayed information. Series: Universitext. Num Pages: 262 pages, 27 black & white illustrations, biography. BIC Classification: PBWL. Category: (P) Professional & Vocational. Dimension: 235 x 156 x 17. Weight in Grams: 420. . 2010. 2nd. Paperback. . . . . . N° de réf. du libraire V9783540698258

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## 5.Applied Stochastic Control of Jump Diffusions 2007

Edité par Springer-Verlag Berlin and Heidelberg GmbH and Co. KG (2007)
ISBN 10 : 3540698256 ISBN 13 : 9783540698258
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Description du livre Springer-Verlag Berlin and Heidelberg GmbH and Co. KG, 2007. PAP. État : New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. N° de réf. du libraire GB-9783540698258

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## 6.Applied Stochastic Control of Jump Diffusions (Universitext)

Edité par Springer Berlin Heidelberg (2010)
ISBN 10 : 3540698256 ISBN 13 : 9783540698258
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## 7.Applied Stochastic Control of Jump Diffusions (Universitext)

Edité par Springer
ISBN 10 : 3540698256 ISBN 13 : 9783540698258
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Description du livre Springer. État : New. Here is a rigorous introduction to solution methods of stochastic control problems for jump diffusions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Levy processes, and a section on optimal stopping with delayed information. Series: Universitext. Num Pages: 262 pages, 27 black & white illustrations, biography. BIC Classification: PBWL. Category: (P) Professional & Vocational. Dimension: 235 x 156 x 17. Weight in Grams: 420. . 2010. 2nd. Paperback. . . . . Books ship from the US and Ireland. N° de réf. du libraire V9783540698258

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## 8.Applied Stochastic Control of Jump Diffusions

Edité par Springer (2016)
ISBN 10 : 3540698256 ISBN 13 : 9783540698258
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Description du livre Springer, 2016. Paperback. État : New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. N° de réf. du libraire ria9783540698258_lsuk

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## 9.Applied Stochastic Control of Jump Diffusions

Edité par Springer (2007)
ISBN 10 : 3540698256 ISBN 13 : 9783540698258
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Description du livre Springer, 2007. Paperback. État : NEW. 9783540698258 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. N° de réf. du libraire HTANDREE0342954

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## 10.Applied Stochastic Control of Jump Diffusions 2007

Edité par Springer-Verlag Berlin and Heidelberg GmbH and Co. KG (2007)
ISBN 10 : 3540698256 ISBN 13 : 9783540698258
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Description du livre Springer-Verlag Berlin and Heidelberg GmbH and Co. KG, 2007. PAP. État : New. New Book. Delivered from our UK warehouse in 3 to 5 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du libraire LQ-9783540698258

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