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  • Applied Stochastic Control of Jump Diffusionsby Bernt Oksendal; Agnès Sulem

    Springer-Verlag Berlin and Heidelberg GmbH & Co. KG 2006; US$ 59.95

    This 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...

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