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Applied Stochastic Control of Jump Diffusions / Bernt Øksendal, Agnès Sulem
| Applied Stochastic Control of Jump Diffusions / Bernt Øksendal, Agnès Sulem |
| Autore | Øksendal, Bernt K. |
| Edizione | [3. ed] |
| Pubbl/distr/stampa | Cham, : Springer, 2019 |
| Descrizione fisica | xvi, 436 p. : ill. ; 24 cm |
| Altri autori (Persone) | Sulem, Agnès |
| Soggetto topico |
93E20 - Optimal stochastic control [MSC 2020]
49J40 - Variational inequalities [MSC 2020] 91Gxx - Actuarial science and mathematical finance [MSC 2020] 65Mxx - Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems [MSC 2020] 91A23 - Differential games (aspects of game theory) [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 47J20 - Variational and other types of inequalities involving nonlinear operators (general) [MSC 2020] |
| Soggetto non controllato |
Backward Stochastic Differential Equations
Convex risk measures Financial Markets Modelled by Jump Diffusions Forward-Backward SDEs Impulse control Jump Diffusions Lévy processes Mean-Field SDEs Optimal Control of SPDEs Optimal stopping Partial Information Control Quantitative Finance Stochastic Controls Stochastic Differential Games |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0126732 |
Øksendal, Bernt K.
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| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Applied Stochastic Control of Jump Diffusions / Bernt Øksendal, Agnès Sulem
| Applied Stochastic Control of Jump Diffusions / Bernt Øksendal, Agnès Sulem |
| Autore | Øksendal, Bernt K. |
| Edizione | [3. ed] |
| Pubbl/distr/stampa | Cham, : Springer, 2019 |
| Descrizione fisica | xvi, 436 p. : ill. ; 24 cm |
| Altri autori (Persone) | Sulem, Agnès |
| Soggetto topico |
47J20 - Variational and other types of inequalities involving nonlinear operators (general) [MSC 2020]
49J40 - Variational inequalities [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 65Mxx - Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems [MSC 2020] 91A23 - Differential games (aspects of game theory) [MSC 2020] 91Gxx - Actuarial science and mathematical finance [MSC 2020] 93E20 - Optimal stochastic control [MSC 2020] |
| Soggetto non controllato |
Backward Stochastic Differential Equations
Convex risk measures Financial Markets Modelled by Jump Diffusions Forward-Backward SDEs Impulse control Jump Diffusions Lévy processes Mean-Field SDEs Optimal Control of SPDEs Optimal stopping Partial Information Control Quantitative Finance Stochastic Controls Stochastic Differential Games |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00126732 |
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Øksendal, Bernt K.
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| Cham, : Springer, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory / Jianfeng Zhang
| Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory / Jianfeng Zhang |
| Autore | Zhang, Jianfeng |
| Pubbl/distr/stampa | New York, : Springer, 2017 |
| Descrizione fisica | xv, 386 p. ; 24 cm |
| Soggetto topico |
60H10 - Stochastic ordinary differential equations [MSC 2020]
60H30 - Applications of stochastic analysis (to PDEs, etc.) [MSC 2020] |
| Soggetto non controllato |
Backward Stochastic Differential Equations
Economic Theory, Quantitative Economics, Mathematical Methods Game Theory, Economics Social and Behavioral Science Mathematical Finance Nonlinear expectations Numerical Analysis Parabolic partial differential equations Partial differential equations Path Dependent Partial Differential Equations Probability Theory and Stochastic Processes Quantitative Finance Second Order Backward Stochastic Differential Equations Stochastic Controls Stochastic differential equations Viscosity solutions Weak Formulation |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0123804 |
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Zhang, Jianfeng
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| New York, : Springer, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory / Jianfeng Zhang
| Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory / Jianfeng Zhang |
| Autore | Zhang, Jianfeng |
| Pubbl/distr/stampa | New York, : Springer, 2017 |
| Descrizione fisica | xv, 386 p. ; 24 cm |
| Soggetto topico |
60H10 - Stochastic ordinary differential equations [MSC 2020]
60H30 - Applications of stochastic analysis (to PDEs, etc.) [MSC 2020] |
| Soggetto non controllato |
Backward Stochastic Differential Equations
Economic Theory, Quantitative Economics, Mathematical Methods Game Theory, Economics Social and Behavioral Science Mathematical Finance Nonlinear expectations Numerical Analysis Parabolic partial differential equations Partial differential equations Path Dependent Partial Differential Equations Probability Theory and Stochastic Processes Quantitative Finance Second Order Backward Stochastic Differential Equations Stochastic Controls Stochastic differential equations Viscosity solutions Weak Formulation |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00123804 |
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Zhang, Jianfeng
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| New York, : Springer, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Estimation and Control of Dynamical Systems / Alain Bensoussan
| Estimation and Control of Dynamical Systems / Alain Bensoussan |
| Autore | Bensoussan, Alain |
| Pubbl/distr/stampa | Cham, : Springer, 2018 |
| Descrizione fisica | xii, 547 p. : ill. ; 24 cm |
| Soggetto topico |
49-XX - Calculus of variations and optimal control; optimization [MSC 2020]
49Lxx - Hamilton-Jacobi theories [MSC 2020] |
| Soggetto non controllato |
Backward Stochastic Differential Equations
Contract Theory Differential games Dynamic Programming Estimation Hamilton Jacobi Bellman equations Linear Dynamical Systems Stochastic Controls |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0124668 |
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Bensoussan, Alain
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| Cham, : Springer, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Estimation and Control of Dynamical Systems / Alain Bensoussan
| Estimation and Control of Dynamical Systems / Alain Bensoussan |
| Autore | Bensoussan, Alain |
| Pubbl/distr/stampa | Cham, : Springer, 2018 |
| Descrizione fisica | xii, 547 p. : ill. ; 24 cm |
| Soggetto topico |
49-XX - Calculus of variations and optimal control; optimization [MSC 2020]
49Lxx - Hamilton-Jacobi theories [MSC 2020] |
| Soggetto non controllato |
Backward Stochastic Differential Equations
Contract Theory Differential games Dynamic Programming Estimation Hamilton Jacobi Bellman equations Linear Dynamical Systems Stochastic Controls |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00124668 |
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Bensoussan, Alain
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| Cham, : Springer, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Stochastic differential equations, backward SDEs, partial differential equations / Etienne Pardoux, Aurel Rӑşcanu
| Stochastic differential equations, backward SDEs, partial differential equations / Etienne Pardoux, Aurel Rӑşcanu |
| Autore | Pardoux, Etienne |
| Pubbl/distr/stampa | Cham, : Springer, 2014 |
| Descrizione fisica | XVII, 667 p. : ill. ; 24 cm |
| Altri autori (Persone) | Rӑşcanu, Aurel |
| Soggetto topico |
60H05 - Stochastic integrals [MSC 2020]
60H10 - Stochastic ordinary differential equations [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 35D40 - Viscosity solutions to PDEs [MSC 2020] |
| Soggetto non controllato |
Backward Stochastic Differential Equations
Feynman-Kac formula Partial differential equations Reflected stochastic differential equations Stochastic differential equations Viscosity solutions of second-order PDEs |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0103408 |
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Pardoux, Etienne
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| Cham, : Springer, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Stochastic differential equations, backward SDEs, partial differential equations / Etienne Pardoux, Aurel Rӑşcanu
| Stochastic differential equations, backward SDEs, partial differential equations / Etienne Pardoux, Aurel Rӑşcanu |
| Autore | Pardoux, Etienne |
| Pubbl/distr/stampa | Cham, : Springer, 2014 |
| Descrizione fisica | XVII, 667 p. : ill. ; 24 cm |
| Altri autori (Persone) | Rӑşcanu, Aurel |
| Soggetto topico |
35D40 - Viscosity solutions to PDEs [MSC 2020]
60H05 - Stochastic integrals [MSC 2020] 60H10 - Stochastic ordinary differential equations [MSC 2020] 60J60 - Diffusion processes [MSC 2020] |
| Soggetto non controllato |
Backward Stochastic Differential Equations
Feynman-Kac formula Partial differential equations Reflected stochastic differential equations Stochastic differential equations Viscosity solutions of second-order PDEs |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00103408 |
|
Pardoux, Etienne
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||
| Cham, : Springer, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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