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Ajouter au panierEtat : New. In English.
Edité par Springer Nature Switzerland AG, CH, 2019
ISBN 10 : 3030027791 ISBN 13 : 9783030027797
Langue: anglais
Vendeur : Rarewaves.com USA, London, LONDO, Royaume-Uni
EUR 92,78
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Ajouter au panierPaperback. Etat : New. Third Edition 2019. The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and their applications. Both the dynamic programming method and the stochastic 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. 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.The 3rd edition is an expanded and updated version of the 2nd edition, containing recent developments within stochastic control and its applications. Specifically, there is a new chapter devoted to a comprehensive presentation of financial markets modelled by jump diffusions, and one on backward stochastic differential equations and convex risk measures. Moreover, the authors have expanded the optimal stopping and the stochastic control chapters to include optimal control of mean-field systems and stochastic differential games.
Edité par Berlin ; Heidelberg ; New York, NY : Springer, 2007
ISBN 10 : 3540698256 ISBN 13 : 9783540698258
Langue: anglais
Vendeur : Chiemgauer Internet Antiquariat GbR, Altenmarkt, BAY, Allemagne
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Ajouter au panierOriginalbroschur. Etat : Wie neu. 2. edition. XIII, 257 S. : graph. Darst. ; 24 cm In EXCELLENT shape. AS NEW. We offer a lot of books on PHYSICS and MATHEMATICS on stock in EXCELLENT shape). Sprache: Englisch Gewicht in Gramm: 505.
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Ajouter au panierPaperback. Etat : Brand New. 3rd edition. 452 pages. 9.25x6.10x1.40 inches. In Stock.
Edité par Springer Nature Switzerland AG, CH, 2019
ISBN 10 : 3030027791 ISBN 13 : 9783030027797
Langue: anglais
Vendeur : Rarewaves.com UK, London, Royaume-Uni
EUR 86,58
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Ajouter au panierPaperback. Etat : New. Third Edition 2019. The main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and their applications. Both the dynamic programming method and the stochastic 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. 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.The 3rd edition is an expanded and updated version of the 2nd edition, containing recent developments within stochastic control and its applications. Specifically, there is a new chapter devoted to a comprehensive presentation of financial markets modelled by jump diffusions, and one on backward stochastic differential equations and convex risk measures. Moreover, the authors have expanded the optimal stopping and the stochastic control chapters to include optimal control of mean-field systems and stochastic differential games.
Edité par Springer International Publishing, 2019
ISBN 10 : 3030027791 ISBN 13 : 9783030027797
Langue: anglais
Vendeur : moluna, Greven, Allemagne
EUR 60,06
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Ajouter au panierEtat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Contains recent developments within stochastic control and its applicationsDiscusses both the dynamic programming method and the stochastic maximum principle methodComprehensively presents financial markets modelled by jump diffusion.