Frequently bought together
Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed. 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 A relatively large number of examples and exercises with solutions is provided, mainly typical models in finance, but also examples in biology, physics, or engineering.
Summing up, this book is a very good addition to the stochastic control literature In the last ten years the authors and their collaborators obtained a lot of results on this field. The publication of this work in the present book seems to be a good way to attain a big audience.
It is useful for students and practitioners in stochastic analysis. Help Centre. My Wishlist Sign In Join. Be the first to write a review. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions.
Book Selection - Semantic Scholar
This will help the reader understand the theory and see how to apply it. The book assumes some basic knowledge of stochastic analysis, measure theory and partial differential equations. The 3rd edition is an expanded and updated version of the 2nd edition, containing recent developments within stochastic control and its applications. Specifically, there is a new chapter devoted to a comprehensive presentation of financial markets modelled by jump diffusions, and one on backward stochastic differential equations and convex risk measures.
Moreover, the authors have expanded the optimal stopping and the stochastic control chapters to include optimal control of mean-field systems and stochastic differential games. Springer Professional. Back to the search result list. Table of Contents Frontmatter Chapter 1. In this chapter we present the basic concepts and results needed for the applied calculus of jump diffusions.
Paperback , pages. Published March 3rd by Springer first published December 22nd More Details Original Title. Other Editions 2. Friend Reviews. To see what your friends thought of this book, please sign up. Lists with This Book.
This book is not yet featured on Listopia. Community Reviews.
Showing Rating details. More filters. Sort order. Jul 09, Alexandra Zhuk rated it it was amazing. Michael D. Lemmon rated it liked it Jul 24, Yuri Popov rated it it was amazing Apr 04,