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By Bernt Øksendal,Agnès Sulem-Bialobroda

Here is a rigorous advent to an important and precious answer equipment of varied forms of stochastic keep watch over difficulties for leap diffusions and its purposes. dialogue comprises the dynamic programming process and the utmost precept technique, and their courting. The textual content emphasises real-world purposes, essentially in finance. effects are illustrated by means of examples, with end-of-chapter workouts together with whole recommendations. The second variation provides a bankruptcy on optimum keep watch over of stochastic partial differential equations pushed by way of Lévy tactics, and a brand new part on optimum preventing with behind schedule info. simple wisdom of stochastic research, degree idea 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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