Applied Stochastic Control of Jump Diffusions (Universitext) by Bernt Øksendal,Agnès Sulem-Bialobroda
By Bernt Øksendal,Agnès Sulem-Bialobroda
Here is a rigorous advent to an important and priceless resolution equipment of varied kinds of stochastic keep watch over difficulties for leap diffusions and its functions. dialogue comprises the dynamic programming procedure and the utmost precept technique, and their courting. The textual content emphasises real-world functions, essentially in finance. effects are illustrated via examples, with end-of-chapter routines together with entire ideas. The 2d version provides a bankruptcy on optimum keep watch over of stochastic partial differential equations pushed by means of Lévy tactics, and a brand new part on optimum preventing with not on time info. uncomplicated wisdom of stochastic research, degree thought and partial differential equations is assumed.
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