Applied Stochastic Control of Jump Diffusions (e-bok)
Fler böcker inom
Format
E-bok
Filformat
PDF med LCP-kryptering (0.0 MB)
Om LCP-kryptering
PDF-böcker lämpar sig inte för läsning på små skärmar, t ex mobiler.
Nedladdning
Kan laddas ned under 24 månader, dock max 6 gånger.
Språk
Engelska
Utgivningsdatum
2005-11-25
Förlag
Springer Berlin Heidelberg
ISBN
9783540264415

Applied Stochastic Control of Jump Diffusions E-bok

av Bernt Oksendal, Agnes Sulem
E-bok (PDF, LCP),  Engelska, 2005-11-25
530
Ladda ned
Spara som favorit
Läs i Bokus Reader för iOS och Android
Finns även som
Visa alla 2 format & utgåvor
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.
Visa hela texten

Kundrecensioner

Har du läst boken? Sätt ditt betyg »

Fler böcker av författarna

Bernt Oksendal, Agnes Sulem

Du kanske gillar