Abstract
Stochastic calculus with jump diffusions -- Optimal stopping of jump diffusions -- Stochastic control of jump diffusions -- Combined optimal stopping and stochastic control of jump diffusions -- Impulse control of jump diffusions -- Approximating impulse control of diffusions by iterated optimal stopping -- Combined stochastic control and impulse control of jump diffusions -- Singular control of jump diffusions -- Viscosity solutions -- Numerical solutions methods -- Appendices: Solutions of the exercises.
Cite
CITATION STYLE
Øksendal, B., & Sulem, A. (2007). Stochastic Control of Jump Diffusions. In Applied Stochastic Control of Jump Diffusions (pp. 45–63). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-69826-5_3
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