Please note: In order to keep Hive up to date and provide users with the best features, we are no longer able to fully support Internet Explorer. The site is still available to you, however some sections of the site may appear broken. We would encourage you to move to a more modern browser like Firefox, Edge or Chrome in order to experience the site fully.

Supporting your high street Find out how »
Applied Stochastic Control of Jump Diffusions, PDF eBook

Applied Stochastic Control of Jump Diffusions PDF

Part of the Universitext series

PDF

Download - Immediately Available
Please note: eBooks can only be purchased with a UK issued credit card and all our eBooks (ePub and PDF) are DRM protected.

Description

Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Levy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

Information

Other Formats

Save 15%

£31.99

£27.19

Download - Immediately Available
Add to Basket
Sign in to add to wishlist
 
Delivered to your inbox

to transfer to your device

eBook Help

Is this the right eBook for
my device? How do I download
this eBook? See help and FAQs pages

Information

Also in the Universitext series  |  View all

Lectures in Knot Theory

£49.99

£40.39

Add to Basket

Stochastic Differential Equations

£49.99

£40.55

Add to Basket

Probability Essentials

£54.99

£48.89

Add to Basket

Ordinary Differential Equations

£64.99

£57.79

Add to Basket