Applied stochastic control of jump diffusions:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2007
|
| Ausgabe: | 2. ed. |
| Schriftenreihe: | Universitext
|
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | XIII, 257 S. graph. Darst. |
| ISBN: | 9783540698258 3540698256 |
Internformat
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Datensatz im Suchindex
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| adam_text |
BERNT 0KSENDAL * AGNES SULEM APPLIED STOCHASTIC CONTROL OF JUMP
DIFFUSIONS 2 ND EDITION WITH 27 FIGURES 4Y SPRINGER CONTENTS 1
STOCHASTIC CALCULUS WITH JUMP DIFFUSIONS 1 1.1 BASIC DEFINITIONS AND
RESULTS ON LEVY PROCESSES . . . 1 1.2 THE ITO FORMULA AND RELATED
RESULTS 6 1.3 LEVY STOCHASTIC DIFFERENTIAL EQUATIONS 10 1.4 THE GIRSANOV
THEOREM AND APPLICATIONS 12 1.5 APPLICATION TO FINANCE 19 1.6 EXERCISES
21 2 OPTIMAL STOPPING OF JUMP DIFFUSIONS 27 2.1 A GENERAL FORMULATION
AND A VERIFICATION THEOREM 27 2.2 APPLICATIONS AND EXAMPLES 31 2.3
OPTIMAL STOPPING WITH DELAYED INFORMATION 36 2.4 EXERCISES 42 3
STOCHASTIC CONTROL OF JUMP DIFFUSIONS 45 3.1 DYNAMIC PROGRAMMING 45 3.2
THE MAXIMUM PRINCIPLE 52 3.3 APPLICATION TO FINANCE 57 3.4 EXERCISES 61
4 COMBINED OPTIMAL STOPPING AND STOCHASTIC CONTROL OF JUMP DIFFUSIONS 65
4.1 INTRODUCTION 65 4.2 A GENERAL MATHEMATICAL FORMULATION . T. 66 4.3
APPLICATIONS 71 4.4 EXERCISES 75 5 SINGULAR CONTROL FOR JUMP DIFFUSIONS
77 5.1 AN ILLUSTRATING EXAMPLE 77 5.2 A GENERAL FORMULATION 79 XII
CONTENTS 5.3 APPLICATION TO PORTFOLIO OPTIMIZATION WITH TRANSACTION
COSTS 85 5.4 EXERCISES 87 6 IMPULSE CONTROL OF JUMP DIFFUSIONS 91 6.1 A
GENERAL FORMULATION AND A VERIFICATION THEOREM . 91 6.2 EXAMPLES 95 6.3
EXERCISES ^ 103 7 APPROXIMATING IMPULSE CONTROL BY ITERATED OPTIMAL
STOPPING 107 7.1 ITERATIVE SCHEME 107 7.2 EXAMPLES 117 7.3 EXERCISES 122
8 COMBINED STOCHASTIC CONTROL AND IMPULSE CONTROL OF JUMP DIFFUSIONS 123
8.1 A VERIFICATION THEOREM 123 8.2 EXAMPLES 126 8.3 ITERATIVE METHODS
131 8.4 EXERCISES 132 9 VISCOSITY SOLUTIONS 135 9.1 VISCOSITY SOLUTIONS
OF VARIATIONAL INEQUALITIES 136 9.1.1 UNIQUENESS 138 9.2 THE VALUE
FUNCTION IS NOT ALWAYS C 1 139 9.3 VISCOSITY SOLUTIONS OF HJBQVI 142 9.4
NUMERICAL ANALYSIS OF HJBQVI 153 9.4.1 FINITE DIFFERENCE APPROXIMATION
153 9.4.2 A POLICY ITERATION ALGORITHM FOR HJBQVI 156 9.5 EXERCISES 159
10 OPTIMAL CONTROL OF RANDOM JUMP FIELDS AND PARTIAL INFORMATION CONTROL
161 10.1 A MOTIVATING EXAMPLE 161 10.2 THE MAXIMUM PRINCIPLE 162 10.3
THE ARROW CONDITION 168 10.3.1 RETURN TO EXAMPLE 10.1 = * 169 10.4
CONTROLS WHICH DO NOT DEPEND ONI 174 10.5 CONNECTION WITH PARTIAL
OBSERVATION CONTROL 176 10.6 EXERCISES 180 11 SOLUTIONS OF SELECTED
EXERCISES 183 11.1 EXERCISES OF CHAPTER 1 183 11.2 EXERCISES OF-CHAPTER
2 189 11.3 EXERCISES OF CHAPTER 3 202 CONTENTS XIII 11.4 EXERCISES OF
CHAPTER 4 209 11.5 EXERCISES OF CHAPTER 5 211 11.6 EXERCISES OF CHAPTER
6 215 11.7 EXERCISES OF CHAPTER 7 227 11.8 EXERCISES OF CHAPTER 8 232
11.9 EXERCISES OF CHAPTER 9 235 11.10 EXERCISES OF CHAPTER 10 240
REFERENCES 243 NOTATION AND SYMBOLS 251 INDEX 255 |
| adam_txt |
BERNT 0KSENDAL * AGNES SULEM APPLIED STOCHASTIC CONTROL OF JUMP
DIFFUSIONS 2 ND EDITION WITH 27 FIGURES 4Y SPRINGER CONTENTS 1
STOCHASTIC CALCULUS WITH JUMP DIFFUSIONS 1 1.1 BASIC DEFINITIONS AND
RESULTS ON LEVY PROCESSES . . . 1 1.2 THE ITO FORMULA AND RELATED
RESULTS 6 1.3 LEVY STOCHASTIC DIFFERENTIAL EQUATIONS 10 1.4 THE GIRSANOV
THEOREM AND APPLICATIONS 12 1.5 APPLICATION TO FINANCE 19 1.6 EXERCISES
21 2 OPTIMAL STOPPING OF JUMP DIFFUSIONS 27 2.1 A GENERAL FORMULATION
AND A VERIFICATION THEOREM 27 2.2 APPLICATIONS AND EXAMPLES 31 2.3
OPTIMAL STOPPING WITH DELAYED INFORMATION 36 2.4 EXERCISES 42 3
STOCHASTIC CONTROL OF JUMP DIFFUSIONS 45 3.1 DYNAMIC PROGRAMMING 45 3.2
THE MAXIMUM PRINCIPLE 52 3.3 APPLICATION TO FINANCE 57 3.4 EXERCISES 61
4 COMBINED OPTIMAL STOPPING AND STOCHASTIC CONTROL OF JUMP DIFFUSIONS 65
4.1 INTRODUCTION 65 4.2 A GENERAL MATHEMATICAL FORMULATION . T. 66 4.3
APPLICATIONS 71 4.4 EXERCISES 75 5 SINGULAR CONTROL FOR JUMP DIFFUSIONS
77 5.1 AN ILLUSTRATING EXAMPLE 77 5.2 A GENERAL FORMULATION 79 XII
CONTENTS 5.3 APPLICATION TO PORTFOLIO OPTIMIZATION WITH TRANSACTION
COSTS 85 5.4 EXERCISES 87 6 IMPULSE CONTROL OF JUMP DIFFUSIONS 91 6.1 A
GENERAL FORMULATION AND A VERIFICATION THEOREM . 91 6.2 EXAMPLES 95 6.3
EXERCISES ^ 103 7 APPROXIMATING IMPULSE CONTROL BY ITERATED OPTIMAL
STOPPING 107 7.1 ITERATIVE SCHEME 107 7.2 EXAMPLES 117 7.3 EXERCISES 122
8 COMBINED STOCHASTIC CONTROL AND IMPULSE CONTROL OF JUMP DIFFUSIONS 123
8.1 A VERIFICATION THEOREM 123 8.2 EXAMPLES 126 8.3 ITERATIVE METHODS
131 8.4 EXERCISES 132 9 VISCOSITY SOLUTIONS 135 9.1 VISCOSITY SOLUTIONS
OF VARIATIONAL INEQUALITIES 136 9.1.1 UNIQUENESS 138 9.2 THE VALUE
FUNCTION IS NOT ALWAYS C 1 139 9.3 VISCOSITY SOLUTIONS OF HJBQVI 142 9.4
NUMERICAL ANALYSIS OF HJBQVI 153 9.4.1 FINITE DIFFERENCE APPROXIMATION
153 9.4.2 A POLICY ITERATION ALGORITHM FOR HJBQVI 156 9.5 EXERCISES 159
10 OPTIMAL CONTROL OF RANDOM JUMP FIELDS AND PARTIAL INFORMATION CONTROL
161 10.1 A MOTIVATING EXAMPLE 161 10.2 THE MAXIMUM PRINCIPLE 162 10.3
THE ARROW CONDITION 168 10.3.1 RETURN TO EXAMPLE 10.1 = * 169 10.4
CONTROLS WHICH DO NOT DEPEND ONI 174 10.5 CONNECTION WITH PARTIAL
OBSERVATION CONTROL 176 10.6 EXERCISES 180 11 SOLUTIONS OF SELECTED
EXERCISES 183 11.1 EXERCISES OF CHAPTER 1 183 11.2 EXERCISES OF-CHAPTER
2 189 11.3 EXERCISES OF CHAPTER 3 202 CONTENTS XIII 11.4 EXERCISES OF
CHAPTER 4 209 11.5 EXERCISES OF CHAPTER 5 211 11.6 EXERCISES OF CHAPTER
6 215 11.7 EXERCISES OF CHAPTER 7 227 11.8 EXERCISES OF CHAPTER 8 232
11.9 EXERCISES OF CHAPTER 9 235 11.10 EXERCISES OF CHAPTER 10 240
REFERENCES 243 NOTATION AND SYMBOLS 251 INDEX 255 |
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| discipline | Allgemeine Naturwissenschaft Mathematik Wirtschaftswissenschaften Mess-/Steuerungs-/Regelungs-/Automatisierungstechnik / Mechatronik |
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| id | DE-604.BV022492180 |
| illustrated | Illustrated |
| index_date | 2024-07-02T17:52:20Z |
| indexdate | 2024-07-20T09:18:57Z |
| institution | BVB |
| isbn | 9783540698258 3540698256 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015699377 |
| oclc_num | 137292084 |
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| owner_facet | DE-91G DE-BY-TUM DE-384 DE-11 DE-20 DE-19 DE-BY-UBM DE-83 DE-188 |
| physical | XIII, 257 S. graph. Darst. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
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| publisher | Springer |
| record_format | marc |
| series2 | Universitext |
| spelling | Øksendal, Bernt K. 1945- Verfasser (DE-588)128742054 aut Applied stochastic control of jump diffusions Bernt Øksendal ; Agnès Sulem 2. ed. Berlin [u.a.] Springer 2007 XIII, 257 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Universitext Stochastic control theory Stochastic processes Viscosity solutions Diffusionsprozess (DE-588)4274463-5 gnd rswk-swf Sprungprozess (DE-588)4427906-1 gnd rswk-swf Lévy-Prozess (DE-588)4463623-4 gnd rswk-swf Stochastische Kontrolltheorie (DE-588)4263657-7 gnd rswk-swf Lévy-Prozess (DE-588)4463623-4 s Sprungprozess (DE-588)4427906-1 s Diffusionsprozess (DE-588)4274463-5 s Stochastische Kontrolltheorie (DE-588)4263657-7 s DE-604 Sulem, Agnès Verfasser (DE-588)129770108 aut text/html http://deposit.dnb.de/cgi-bin/dokserv?id=2895071&prov=M&dok_var=1&dok_ext=htm Inhaltstext HEBIS Datenaustausch Darmstadt application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015699377&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Øksendal, Bernt K. 1945- Sulem, Agnès Applied stochastic control of jump diffusions Stochastic control theory Stochastic processes Viscosity solutions Diffusionsprozess (DE-588)4274463-5 gnd Sprungprozess (DE-588)4427906-1 gnd Lévy-Prozess (DE-588)4463623-4 gnd Stochastische Kontrolltheorie (DE-588)4263657-7 gnd |
| subject_GND | (DE-588)4274463-5 (DE-588)4427906-1 (DE-588)4463623-4 (DE-588)4263657-7 |
| title | Applied stochastic control of jump diffusions |
| title_auth | Applied stochastic control of jump diffusions |
| title_exact_search | Applied stochastic control of jump diffusions |
| title_exact_search_txtP | Applied stochastic control of jump diffusions |
| title_full | Applied stochastic control of jump diffusions Bernt Øksendal ; Agnès Sulem |
| title_fullStr | Applied stochastic control of jump diffusions Bernt Øksendal ; Agnès Sulem |
| title_full_unstemmed | Applied stochastic control of jump diffusions Bernt Øksendal ; Agnès Sulem |
| title_short | Applied stochastic control of jump diffusions |
| title_sort | applied stochastic control of jump diffusions |
| topic | Stochastic control theory Stochastic processes Viscosity solutions Diffusionsprozess (DE-588)4274463-5 gnd Sprungprozess (DE-588)4427906-1 gnd Lévy-Prozess (DE-588)4463623-4 gnd Stochastische Kontrolltheorie (DE-588)4263657-7 gnd |
| topic_facet | Stochastic control theory Stochastic processes Viscosity solutions Diffusionsprozess Sprungprozess Lévy-Prozess Stochastische Kontrolltheorie |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=2895071&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015699377&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT øksendalberntk appliedstochasticcontrolofjumpdiffusions AT sulemagnes appliedstochasticcontrolofjumpdiffusions |