Applied Stochastic Control of Jump Diffusions (Universitext) .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. The 2nd edition adds a chapter on optimal control of stochastic par
| TITLE | : | Applied Stochastic Control of Jump Diffusions (Universitext) |
| AUTHOR | : | |
| RATING | : | 4.99 (388 Votes) |
| ASIN | : | 3540698256 |
| FORMAT TYPE | : | Paperback |
| NUMBER of PAGES | : | 262 Pages |
| PUBLISH DATE | : | 2010-06-02 |
| GENRE | : |
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.
Editorial : 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 exam
Pollack expertly describes many of the subtle obstacles and pervasive barriers that deter women from STEM, but These accounts were presented in the context of her own experiences, and I found many of her statements (and her own motivations) counterproductive to the stated mission of this book. I don't follow every recommendation, but I am never disappointed by the ones I do follow.. That is not only inaccurate (from my experience, anyway), it is incredibly counterproductive to the mission of getting more women in STEM fields.
This was such a theme in Pollack's story that I started a document to record unsettling and/or offensive quotes from the book. Unfortunately it looks like these authors prefer not to spend money on professional proofreaders or editors. This is regardless of the consequences. Freud, not having the luxury of 20/20 hindsight, incorporated these ideas into hi
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