Artículos relacionados a Applied Stochastic Control of Jump Diffusions (Universitext)
Sinopsis
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.
"Sinopsis" puede pertenecer a otra edición de este libro.
Críticas
From the reviews: "The main purpose of this excellent monograph is to give a rigorous non-technical introduction to the most important and useful solution methods of various types of optimal stochastic control problems for jump diffusions and their applications. ... All the main results are illustrated by examples and exercises ... . This really helps the reader to understand the theory and to see how it can be applied. ... This book is a very useful text for students, researchers, and practitioners working in stochastic analysis ... ." (Pavel Gapeev, Zentralblatt MATH, Vol. 1074, 2005) "The focus is on the applied aspect of the theory of control diffusion processes with jumps, particularly in finance and economy. ... A relatively large number of examples and exercises (with solutions) is provided, mainly typical models in finance, but also examples in biology, physics, or engineering. ... Summing up, this book is a very good addition to the stochastic control literature ... ." (Jose-Luis Menaldi, SIAM Reviews, Vol. 47 (4), 2005) "In recent time optimal control in finance is connected with modelling of stock prices by Lévy processes and considering of different transaction costs. In the last ten years the authors and their collaborators obtained a lot of results on this field. The publication of this work in the present book seems to be a good way to attain a big audience. ... It is useful for students and practitioners in stochastic analysis." (Hans-Joachim Girlich, OR News, Issue 25, November, 2005)
Reseña del editor
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 Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
"Sobre este título" puede pertenecer a otra edición de este libro.
Comprar nuevo
Ver este artículo
EUR 26,03
GRATIS gastos de envío desde Estados Unidos de America a España
Destinos, gastos y plazos de envíoOtras ediciones populares con el mismo título
Resultados de la búsqueda para Applied Stochastic Control of Jump Diffusions (Universitext)
Imagen de archivo
Applied Stochastic Control Of Jump Diffusions
Librería: Romtrade Corp., STERLING HEIGHTS, MI, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Condición: New. This is a Brand-new US Edition. This Item may be shipped from US or any other country as we have multiple locations worldwide. Nº de ref. del artículo: ABNR-1951
Cantidad disponible: 5 disponibles
Imagen de archivo
Applied Stochastic Control Of Jump Diffusions
Librería: SMASS Sellers, IRVING, TX, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Brand New Original US Edition. Customer service! Satisfaction Guaranteed. Nº de ref. del artículo: ASNT3-1951
Cantidad disponible: 5 disponibles
Imagen de archivo
Applied Stochastic Control of Jump Diffusions
Librería: Majestic Books, Hounslow, Reino Unido
Calificación del vendedor: 5 de 5 estrellas
Condición: New. pp. x + 208 Illus. Nº de ref. del artículo: 7548527
Cantidad disponible: 4 disponibles
Imagen de archivo
Applied Stochastic Control of Jump Diffusions
Librería: ALLBOOKS1, Direk, SA, Australia
Calificación del vendedor: 5 de 5 estrellas
Nº de ref. del artículo: SHUB411312
Cantidad disponible: 1 disponibles
Imagen de archivo
Applied Stochastic Control of Jump Diffusions
Librería: Books Puddle, New York, NY, Estados Unidos de America
Calificación del vendedor: 4 de 5 estrellas
Condición: New. pp. x + 208 1st Edition. Nº de ref. del artículo: 26299440
Cantidad disponible: 4 disponibles
Imagen de archivo
Applied Stochastic Control of Jump Diffusions
Librería: Biblios, Frankfurt am main, HESSE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Condición: New. pp. x + 208. Nº de ref. del artículo: 18299450
Cantidad disponible: 4 disponibles
Imagen de archivo
Applied Stochastic Control of Jump Diffusions
Librería: ALLBOOKS1, Direk, SA, Australia
Calificación del vendedor: 5 de 5 estrellas
Nº de ref. del artículo: SHUB265547
Cantidad disponible: 1 disponibles
Imagen de archivo
Applied Stochastic Control Of Jump Diffusions
Librería: Romtrade Corp., STERLING HEIGHTS, MI, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Condición: New. This is a Brand-new US Edition. This Item may be shipped from US or any other country as we have multiple locations worldwide. Nº de ref. del artículo: ABNR-82682
Cantidad disponible: 1 disponibles
Imagen de archivo
Applied Stochastic Control of Jump Diffusions
Librería: ALLBOOKS1, Direk, SA, Australia
Calificación del vendedor: 5 de 5 estrellas
Nº de ref. del artículo: SHUB265548
Cantidad disponible: 1 disponibles
Imagen de archivo
APPLIED STOCHASTIC CONTROL OF JUMP DIFFUSIONS
Librería: Basi6 International, Irving, TX, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Condición: Brand New. New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. Nº de ref. del artículo: ABEJUNE24-411312
Cantidad disponible: 12 disponibles