Applied Stochastic Control of Jump Diffusions
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Here is a rigorous introduction to solution methods of stochastic control problems for jump diffusions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Levy processes, and a section on optimal stopping with delayed information.
| Autor: | Oksendal, Bernt |
| Nakladatel: | Springer-Verlag Berlin and Heidelberg GmbH & Co. KG |
| ISBN: | 9783540698258 |
| Rok vydání: | 2007 |
| Jazyk : | Angličtina |
| Vazba: | Paperback |
| Počet stran: | 262 |
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