Applied Stochastic Control of Jump Diffusions (2nd Edition) by Bernt Øksendal, Agnès Sulem

By Bernt Øksendal, Agnès Sulem

The most function of the e-book is to provide a rigorous, but ordinarily nontechnical, advent to an important and precious resolution equipment of assorted varieties of stochastic regulate difficulties for bounce diffusions and its applications.

The varieties of keep an eye on difficulties lined comprise classical stochastic regulate, optimum preventing, impulse keep an eye on and singular regulate. either the dynamic programming process and the utmost precept process are mentioned, in addition to the relation among them. Corresponding verification theorems concerning the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities are formulated. There also are chapters at the viscosity answer formula and numerical methods.

The textual content emphasises purposes, commonly to finance. all of the major effects are illustrated via examples and workouts look on the finish of every bankruptcy with whole strategies. this can aid the reader comprehend the speculation and notice easy methods to observe it.

The ebook assumes a few simple wisdom of stochastic research, degree thought and partial differential equations.

In the second variation there's a new bankruptcy on optimum keep an eye on of stochastic partial differential equations pushed through Lévy strategies. there's additionally a brand new part on optimum preventing with not on time info. in addition, corrections and different advancements were made.

Show description

Read or Download Applied Stochastic Control of Jump Diffusions (2nd Edition) (Universitext) PDF

Best differential equations books

The Asymptotic Solution of Linear Differential Systems: Applications of the Levinson Theorem

The fashionable idea of linear differential structures dates from the Levinson Theorem of 1948. it's only in additional fresh years, in spite of the fact that, following the paintings of Harris and Lutz in 1974-7, that the importance and diversity of purposes of the theory became liked. This ebook supplies the 1st coherent account of the large advancements of the final 15 years.

Additional info for Applied Stochastic Control of Jump Diffusions (2nd Edition) (Universitext)

Sample text

20 1 Stochastic Calculus with Jump Diffusions We seek an ELMM Q of the process S¯1 (t). 1) we see that if A ∈ B0 with θ(z) = μ−r γ μ−r . 2) |z|ν(dz) := K < ∞ then μ−r XA (z) sign z γK is a possible solution. , if ν(R) = ν({z0 }) (which means that η(t) is a Poisson process multiplied by z0 ) then this is the only solution. 2) such that θ(z) < 1. 2) and define t Z(t) = Z θ (t) = exp 0 R +t R ˜ (ds, dz) ln(1 − θ(z))N {ln(1 − θ(z)) + θ(z)}ν(dz) , 0≤t≤T and dQ = dQθ = Z θ (T )dP on FT . 34 S¯1 (t) is a local martingale with respect to Q.

1 Dynamic Programming x2 49 the Merton line (ν = 0) (x1 , x2 ) (X1 (t), X2 (t)) S (x1 , x2 ) x1 S x1 + x2 = 0 Fig. 1. The Merton line Case 2: ν = 0 We now ask: How does the presence of jumps influence the optimal strategy? As in [M] we reduce the dimension by introducing W (t) = X1 (t) + X2 (t). Then we see that dW (t) = ([r(1 − θ(t)) + μθ(t)]W (t) − c(t)) dt + σθ(t)W (t)dB(t) + θ(t)W (t− ) ∞ W (0) = x1 + x2 = w ≥ 0. z N (dt, dz), −1 The generator A(u) of the controlled process Y (t) = s+t ; W (t) t ≥ 0, Y (0) = y = s w is A(u) φ(y) = ∂φ 1 ∂2φ ∂φ + [r(1 − θ) + μθ]w − c + σ 2 θ2 w2 2 ∂s ∂w 2 ∂w ∞ ∂φ (s, w)θwz ν(dz).

20 1 Stochastic Calculus with Jump Diffusions We seek an ELMM Q of the process S¯1 (t). 1) we see that if A ∈ B0 with θ(z) = μ−r γ μ−r . 2) |z|ν(dz) := K < ∞ then μ−r XA (z) sign z γK is a possible solution. , if ν(R) = ν({z0 }) (which means that η(t) is a Poisson process multiplied by z0 ) then this is the only solution. 2) such that θ(z) < 1. 2) and define t Z(t) = Z θ (t) = exp 0 R +t R ˜ (ds, dz) ln(1 − θ(z))N {ln(1 − θ(z)) + θ(z)}ν(dz) , 0≤t≤T and dQ = dQθ = Z θ (T )dP on FT . 34 S¯1 (t) is a local martingale with respect to Q.

Download PDF sample

Rated 4.67 of 5 – based on 49 votes