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Publications
Applied Stochastic Control of Jump Diffusions
Home
Publications
Applied Stochastic Control of Jump Diffusions
Applied Stochastic Control of Jump Diffusions
Authors:
BØ
Bernt Øksendal
Bernt Øksendal
AS
Agnès Sulem
Agnès Sulem
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1 January 2019
book
Published by
Springer Nature
DOI:
10.1007/978-3-030-02781-0
Abstract
No abstract available
Keywords
47J20
49J40
60G40
65M06
65M12
91A23
91B28
91GXX
93E20
LÉVY PROCESSES
JUMP DIFFUSIONS
STOCHASTIC CONTROL
FINANCIAL MARKETS MODELLED BY JUMP DIFFUSIONS
BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
CONVEX RISK MEASURES
OPTIMAL STOPPING
IMPULSE CONTROL
STOCHASTIC DIFFERENTIAL GAMES
PARTIAL INFORMATION CONTROL
FORWARD-BACKWARD SDES
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Cited by 137 articles
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