Applied Stochastic Control of Jump Diffusions

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Applied Stochastic Control of Jump Diffusions - Oksendal, Bernt, and Sulem, Agnes

Here is a rigorous introduction to solution methods of stochastic control problems for jump diffusions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Levy processes, and a section on optimal stopping with delayed information."

Applied Stochastic Control of Jump Diffusions 2007, Springer, Berlin, Germany

ISBN-13: 9783540698258

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Applied Stochastic Control of Jump Diffusions 2004, Springer, Berlin, Germany

ISBN-13: 9783540140238

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