Applied Stochastic Control of Jump Diffusions
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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...
Format:Paperback
Language:English
ISBN:3030027791
ISBN13:9783030027797
Release Date:May 2019
Publisher:Springer
Length:436 Pages
Weight:1.39 lbs.
Dimensions:0.9" x 6.1" x 9.2"
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