The main purpose of the book is to give a rigorous, introduction to the most important and useful solution methods of various types of stochastic control proble... » 

The main purpose of the book is to give a rigorous, introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. Both the dynamic programming method and the maximum principle method are discussed, as well as the relation between them. The text emphasises applications, mostly to finance. All the main results are illustrated by examples and exercises appear at the end of each chapter with complete solutions. «