Book review

DOI10.1080/14697688.2020.1803498zbMath1461.00035OpenAlexW4244507010MaRDI QIDQ5139229

Sébastien Lleo

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1803498

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Differential games (aspects of game theory) (91A23) Dynamic programming (90C39) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) External book reviews (00A17) Jump processes on general state spaces (60J76)

Cites Work

• Lévy Processes and Stochastic Calculus
• Stochastic differential equations. An introduction with applications.
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