||5 of 5 people found the following review helpful.| A really good book!|By T. Leirvik|I found this book interesting and to the point both mathematically and in explaining some of the financial problems which can be solved using the theory. It's easy to read and understand, even though some of the proofs can be a little hard in the first reading. The exercises, and the solutions (yes, there is a chapter devoted to solutions of m|||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 applic
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 cha...
[PDF.cd79] Applied Stochastic Control of Jump Diffusions (Universitext) Rating: 4.59 (408 Votes)
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