Applied Stochastic Control of Jump Diffusions (Universitext) by Bernt Øksendal,Agnès Sulem-Bialobroda

By Bernt Øksendal,Agnès Sulem-Bialobroda

Here is a rigorous advent to an important and priceless resolution equipment of varied kinds of stochastic keep watch over difficulties for leap diffusions and its functions. dialogue comprises the dynamic programming procedure and the utmost precept technique, and their courting. The textual content emphasises real-world functions, essentially in finance. effects are illustrated via examples, with end-of-chapter routines together with entire ideas. The 2d version provides a bankruptcy on optimum keep watch over of stochastic partial differential equations pushed by means of Lévy tactics, and a brand new part on optimum preventing with not on time info. uncomplicated wisdom of stochastic research, degree thought and partial differential equations is assumed.

Show description

Read Online or Download Applied Stochastic Control of Jump Diffusions (Universitext) PDF

Best functional analysis books

Nonlinear Smoothing and Multiresolution Analysis: 150 (International Series of Numerical Mathematics)

This monograph offers a brand new conception for research, comparisonand layout of nonlinear smoothers, linking to establishedpractices. even if part of mathematical morphology, the specialproperties yield many straightforward, robust and illuminating resultsleading to a unique nonlinear multiresolution research with pulsesthat will be as common to imaginative and prescient as wavelet research is toacoustics.

Local Minimization, Variational Evolution and Γ-Convergence (Lecture Notes in Mathematics)

This booklet addresses new questions concerning the asymptotic description of converging energies from the viewpoint of neighborhood minimization and variational evolution. It explores the hyperlinks among Gamma-limits, quasistatic evolution, gradient flows and sturdy issues, elevating new questions and featuring new options.

Upper and Lower Bounds for Stochastic Processes: Modern Methods and Classical Problems (Ergebnisse der Mathematik und ihrer Grenzgebiete. 3. Folge / A Series of Modern Surveys in Mathematics)

The e-book develops glossy tools and specifically the "generic chaining" to sure stochastic approaches. This tools permits specifically to get optimum bounds for Gaussian and Bernoulli procedures. purposes are given to sturdy approaches, infinitely divisible procedures, matching theorems, the convergence of random Fourier sequence, of orthogonal sequence, and to practical research.

Evolution PDEs with Nonstandard Growth Conditions: Existence, Uniqueness, Localization, Blow-up (Atlantis Studies in Differential Equations)

This monograph bargains the reader a remedy of the idea of evolution PDEs with nonstandard progress stipulations. This classification contains parabolic and hyperbolic equations with variable or anisotropic nonlinear constitution. We advance tools for the learn of such equations and current an in depth account of modern effects.

Additional resources for Applied Stochastic Control of Jump Diffusions (Universitext)

Sample text

Download PDF sample

Rated 4.50 of 5 – based on 15 votes