By Bernt Øksendal,Agnès Sulem-Bialobroda
Here is a rigorous creation to crucial and necessary resolution tools of varied kinds of stochastic regulate difficulties for bounce diffusions and its functions. dialogue contains the dynamic programming approach and the utmost precept approach, and their courting. The textual content emphasises real-world functions, essentially in finance. effects are illustrated by means of examples, with end-of-chapter workouts together with whole strategies. The second variation provides a bankruptcy on optimum keep an eye on of stochastic partial differential equations pushed via Lévy strategies, and a brand new part on optimum preventing with not on time details. easy wisdom of stochastic research, degree concept and partial differential equations is assumed.
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Applied Stochastic Control of Jump Diffusions (Universitext) by Bernt Øksendal,Agnès Sulem-Bialobroda
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