Applied Stochastic Control of Jump Diffusions
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Contains recent developments within stochastic control and its applications Discusses both the dynamic programming method and the stochastic maximum principle method Comprehensively presents financial markets modelled by jump diffusions, backward stochastic differential equations and convex risk measures Includes optimal control of mean-field systems and stochastic differential games in the expanded and updated chapters about optimal stopping and stochastic control
Contains recent developments within stochastic control and its applications Discusses both the dynamic programming method and the stochastic maximum principle method Comprehensively presents financial markets modelled by jump diffusions, backward stochastic differential equations and convex risk measures Includes optimal control of mean-field systems and stochastic differential games in the expanded and updated chapters about optimal stopping and stochastic control
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