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This book provides a thorough introduction to stochastic control methods for jump diffusions, focusing on dynamic programming and the stochastic maximum principle. It includes verification theorems, applications in finance, and exercises with solutions. The updated 3rd edition features new chapters on financial markets and advanced control topics.
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Applied Stochastic Control of Jump Diffusions, Bernt Oksendal, Agnès Sulem
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- Released
- 2019
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- (Paperback)
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