Applied Stochastic Control of Jump Diffusions (Universitext系列)

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收藏 2015-05-16

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.

Product Details

Series: Universitext
Paperback: 262 pages
Publisher: Springer; 2nd edition (June 28, 2007)
Language: English
ISBN-10: 3540698256
ISBN-13: 978-3540698258
Product Dimensions: 6.1 x 0.6 x 9.2 inches
Shipping Weight: 14.9 ounces (View shipping rates and policies)
Average Customer Review: 5.0 out of 5 stars See all reviews(1 customer review)

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Applied Stochastic Control of Jump Diffusions.pdf

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bwumathe

2016-3-31 01:25:14

Google上可以免费下载
http://download.springer.com/static/pdf/470/bok%253A978-3-540-69826-5.pdf?originUrl=http%3A%2F%2Flink.springer.com%2Fbook%2F10.1007%2F978-3-540-69826-5&token2=exp=1459359733~acl=%2Fstatic%2Fpdf%2F470%2Fbok%25253A978-3-540-69826-5.pdf%3ForiginUrl%3Dhttp%253A%252F%252Flink.springer.com%252Fbook%252F10.1007%252F978-3-540-69826-5*~hmac=e943dc8c92092ca9571041cea9582b5bcb565e465ed97863f236647da52f1da4

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三江鸿

2023-1-13 22:43:06

点个赞感谢分享

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