Applied Stochastic Control of Jump Diffusions
The main purpose of the book is to give a rigorous, yet mostly nontechnical, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control prob
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Bernt Øksendal Agnès Sulem
Applied Stochastic Control of Jump Diffusions
Bernt Øksendal · Agn`es Sulem
Applied Stochastic Control of Jump Diffusions 2nd Edition With 27 Figures
Bernt Øksendal University of Oslo Department of Mathematics 0316 Oslo Norway e-mail: [email protected]
Angn`es Sulem INRIA Rocquencourt Domaine de Voluceau 78153 Le Chesnay CX France e-mail: [email protected]
Mathematics Subject Classification (2000): 93E20, 60G40, 60G51, 49L25, 65MXX, 47J20, 49J40, 91B28
Library of Congress Control Number: 2007921874
ISBN-10: 3-540-69825-6 Springer Berlin Heidelberg New York ISBN-13: 978-3-540-69825-8 Springer Berlin Heidelberg New York ISBN-13: 978-3-540-14023-8 1st ed. Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springer.com ◦c Springer-Verlag Berlin Heidelberg 2004, 2007
The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: WMXDesign, Heidelberg Typesetting by the authors and SPi using a Springer LATEX macro package Printed on acid-free paper
SPIN: 11872405
41/2141/SPi 5 4 3 2 1 0
To my family Eva, Elise, Anders, and Karina B. Ø.
A tous ceux qui m’accompagnent A. S.
Preface to the Second Edition
In this second edition, we have added a chapter on optimal control of random jump fields (solutions of stochastic partial differential equations) and partial information control (Chap. 10). We have also added a section on optimal stopping with delayed information (Sect. 2.3). It has always been our intention to give a contemporary presentation of applied stochastic control, and we hope that the addition of these recent developments will contribute in this direction. We have also made a number of corrections and other improvements, many of them based on helpful comments from our readers. In particular, we would like to thank Andreas Kyprianou for his valuable communications. We are also grateful to (in alphabetical order) Knut Aase, Jean-Philippe Chancelier, Inga Eide, Emil Framnes, Arne-Christian Lund, Jose-Luis Menaldi, Tam´ as K. Papp, Atle Seierstad, and Jens Arne Sukkestad for pointing out errors and suggesting improvements. Our special thanks go to Martine Verneuille for her skillful typing.
Oslo and Paris, November 2006
Bernt
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