Applied Stochastic Control of Jump Diffusions

This book offers a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion extends to both the dynamic programming method and the maximum principle method, as well as the relation between them. The authors formulate the corresponding verification theorems involving the Hamilton-Jacobi Bellman equation and/or (quasi-)variational inequalities. The text emphasises real-world applicat