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

Autorentext

Agnès Sulem is a researcher at INRIA, Paris. She leads the MATHRISK research group and the Premia consortium for quantitative finance. She teaches in the doctoral programs at University Paris-Dauphine and Luxemburg University. Her fields of research are stochastic control, numerical and stochastic analysis, and mathematical finance. She is the author of 2 books and about 100 research articles. Besides mathematics, Agnès Sulem enjoys playing the violin.

Bernt Øksendal is professor emeritus at the University of Oslo (UiO) and associate professor and Honorary Doctor at the Norwegian School of Economics (NHH). He was awarded the Nansen Prize in 1996 and the UiO Research Prize in 2014. His interests are in stochastic analysis, stochastic control and applications, especially in biology and finance. He has over 200 publications, including 10 books. His other interests and pleasures include jogging, music, science and nature.

Zusammenfassung

Inhalt

Preface.- Stochastic Calculus with Lévy Processes.- Financial Markets Modelled by Jump Diffusions.- Optimal Stopping of Jump Diffusions.- Backward Stochastic Differential Equations and Risk Measures.- Stochastic Control of Jump Diffusions.- Stochastic Differential Games.- Combined Optimal Stopping and Stochastic Control of Jump Diffusions.- Viscosity Solutions.- Solutions of Selected Exercises.- References.- Notation and Symbols.