Applied Stochastic Control of Jump Diffusions

by Bernt Øksendal, Agnès Sulem-Bialobroda, Agnès Sulem

The 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...

• 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"