By Bernt Øksendal,Agnès Sulem-Bialobroda
Here is a rigorous advent to an important and precious answer equipment of varied different types of stochastic keep an eye on difficulties for leap diffusions and its purposes. dialogue comprises the dynamic programming approach and the utmost precept technique, and their dating. The textual content emphasises real-world purposes, essentially in finance. effects are illustrated by way of examples, with end-of-chapter workouts together with entire strategies. The 2d variation provides a bankruptcy on optimum keep an eye on of stochastic partial differential equations pushed by means of Lévy tactics, and a brand new part on optimum preventing with not on time info. easy wisdom of stochastic research, degree thought and partial differential equations is assumed.
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Extra info for Applied Stochastic Control of Jump Diffusions (Universitext)
Applied Stochastic Control of Jump Diffusions (Universitext) by Bernt Øksendal,Agnès Sulem-Bialobroda