Applied Stochastic Control of Jump Diffusions |
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| Author:
| Øksendal, Bernt
Sulem, Agnès |
| Series title: | Universitext Ser. |
| ISBN: | 978-3-030-02779-7 |
| Publication Date: | May 2019 |
| Publisher: | Springer International Publishing AG
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| Imprint: | Springer |
| Book Format: | Paperback |
| List Price: | USD $69.99 |
Book Description:
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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 Lévy processes, and a section on optimal stopping with delayed information.
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 Lévy processes, and a section on optimal stopping with delayed information.