By Bernt Øksendal,Agnès Sulem-Bialobroda
Here is a rigorous advent to an important and priceless resolution equipment of varied forms of stochastic keep an eye on difficulties for bounce diffusions and its functions. dialogue comprises the dynamic programming strategy and the utmost precept technique, and their dating. The textual content emphasises real-world purposes, basically in finance. effects are illustrated through examples, with end-of-chapter workouts together with entire suggestions. The 2d variation provides a bankruptcy on optimum keep watch over of stochastic partial differential equations pushed through Lévy strategies, and a brand new part on optimum preventing with behind schedule details. 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