Applied Stochastic Control of Jump Diffusions (Universitext) by Bernt Øksendal,Agnès Sulem-Bialobroda

By Bernt Øksendal,Agnès Sulem-Bialobroda

Here is a rigorous creation to an important and beneficial answer tools of varied forms of stochastic keep watch over difficulties for bounce diffusions and its purposes. dialogue contains the dynamic programming procedure and the utmost precept process, and their courting. The textual content emphasises real-world functions, basically in finance. effects are illustrated via examples, with end-of-chapter routines together with entire recommendations. The second version provides a bankruptcy on optimum keep watch over of stochastic partial differential equations pushed by way of Lévy strategies, and a brand new part on optimum preventing with behind schedule info. easy wisdom of stochastic research, degree concept and partial differential equations is assumed.

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