LEADER 04781nam 22007575 450 001 9910338249503321 005 20220222121457.0 010 $a3-030-02781-3 024 7 $a10.1007/978-3-030-02781-0 035 $a(CKB)4100000007992423 035 $a(DE-He213)978-3-030-02781-0 035 $a(MiAaPQ)EBC5923516 035 $a(PPN)235668974 035 $a(EXLCZ)994100000007992423 100 $a20190417d2019 u| 0 101 0 $aeng 135 $aurnn#008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aApplied Stochastic Control of Jump Diffusions /$fby Bernt Øksendal, Agnès Sulem 205 $a3rd ed. 2019. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2019. 215 $a1 online resource (XVI, 436 p. 26 illus., 3 illus. in color.) 225 1 $aUniversitext,$x0172-5939 311 $a3-030-02779-1 327 $aPreface -- Stochastic Calculus with Lévy Processes -- Financial Markets Modelled by Jump Diffusions -- Optimal Stopping of Jump Diffusions -- Backward Stochastic Differential Equations and Risk Measures -- Stochastic Control of Jump Diffusions -- Stochastic Differential Games -- Combined Optimal Stopping and Stochastic Control of Jump Diffusions -- Viscosity Solutions -- Solutions of Selected Exercises -- References -- Notation and Symbols. 330 $aThe main purpose of the book is to give a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and their applications. Both the dynamic programming method and the stochastic maximum principle method are discussed, as well as the relation between them. Corresponding verification theorems involving the Hamilton?Jacobi?Bellman equation and/or (quasi-)variational inequalities are formulated. The text emphasises applications, mostly to finance. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions. This will help the reader understand the theory and see how to apply it. The book assumes some basic knowledge of stochastic analysis, measure theory and partial differential equations. The 3rd edition is an expanded and updated version of the 2nd edition, containing recent developments within stochastic control and its applications. Specifically, there is a new chapter devoted to a comprehensive presentation of financial markets modelled by jump diffusions, and one on backward stochastic differential equations and convex risk measures. Moreover, the authors have expanded the optimal stopping and the stochastic control chapters to include optimal control of mean-field systems and stochastic differential games. 410 0$aUniversitext,$x0172-5939 606 $aOperations research 606 $aManagement science 606 $aProbabilities 606 $aEconomics, Mathematical  606 $aCalculus of variations 606 $aOperator theory 606 $aSystem theory 606 $aOperations Research, Management Science$3https://scigraph.springernature.com/ontologies/product-market-codes/M26024 606 $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aCalculus of Variations and Optimal Control; Optimization$3https://scigraph.springernature.com/ontologies/product-market-codes/M26016 606 $aOperator Theory$3https://scigraph.springernature.com/ontologies/product-market-codes/M12139 606 $aSystems Theory, Control$3https://scigraph.springernature.com/ontologies/product-market-codes/M13070 615 0$aOperations research. 615 0$aManagement science. 615 0$aProbabilities. 615 0$aEconomics, Mathematical . 615 0$aCalculus of variations. 615 0$aOperator theory. 615 0$aSystem theory. 615 14$aOperations Research, Management Science. 615 24$aProbability Theory and Stochastic Processes. 615 24$aQuantitative Finance. 615 24$aCalculus of Variations and Optimal Control; Optimization. 615 24$aOperator Theory. 615 24$aSystems Theory, Control. 676 $a519.2 676 $a629.8312 700 $aØksendal$b Bernt$4aut$4http://id.loc.gov/vocabulary/relators/aut$0780994 702 $aSulem$b Agnès$4aut$4http://id.loc.gov/vocabulary/relators/aut 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910338249503321 996 $aApplied Stochastic Control of Jump Diffusions$92534319 997 $aUNINA