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Theory of Stochastic Differential Equations with Jumps and Applications

Mathematical and Analytical Techniques with Applications to Engineering

Theory of Stochastic Differential Equations with Jumps and Applications by Rong SITU
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Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs. In particular, the reader will be provided with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, science and elsewhere.
Springer US; May 2006
448 pages; ISBN 9780387251752
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Title: Theory of Stochastic Differential Equations with Jumps and Applications
Author: Rong SITU
 
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