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Applied Stochastic Control of Jump Diffusionsby Bernt Oksendal; Agnès Sulem
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG 2006; US$ 47.99This text presents a rigorous yet non-technical introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. The types of control problems covered include classical stochastic control, optimal stopping, impulse control and singular control. more...
Add to my wish listAdd to cartStochastic Calculus for Fractional Brownian Motion and Applicationsby Francesca Biagini; Yaozhong Hu; Bernt Oksendal; Tusheng Zhang
Springer 2008; US$ 84.99Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes fBm an interesting object of study. fBm represents a natural one-parameter extension of classical Brownian motion therefore it is natural to ask if a stochastic calculus for... more...
Add to my wish listAdd to cartStochastic Analysis and Applicationsby F.E. Benth; G. Di Nunno; Tom Lindstrom; Bernt Oksendal; T. Zhang
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG 2007; US$ 129.99Kiyosi Ito, the founder of stochastic calculus, is one of the few central figures of the twentieth century mathematics who reshaped the mathematical world. Today stochastic calculus is a central research field with applications in several other mathematical disciplines, for example physics, engineering, biology, economics and finance. The Abel Symposium... more...
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