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  • Stochastic Differential Equations

    Stochastic Differential Equations
    av Bernt Oksendal

    Häftad - 2003 - Engelska - ISBN: 9783540047582

    This edition contains detailed solutions of selected exercises. Many readers have requested this, because it makes the book more suitable for self-study. At the same time new exercises (without solutions) have beed added. They have all been placed i…

  • Applied Stochastic Control of Jump Diffusions

    Applied Stochastic Control of Jump Diffusions
    av Bernt Oksendal

    Häftad - 2007 - Engelska - ISBN: 9783540698258

    Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle…

  • Stochastic Partial Differential Equations

    Stochastic Partial Differential Equations
    av Helge Holden, Bernt Oksendal, Jan Uboe

    Inbunden - 1996 - Engelska - ISBN: 9783764339289

    The main emphasis of this work is on stochastic partial differential equations. First the stochastic Poisson equation and the stochastic transport equation are discussed; then the authors go on to deal with the Schrodinger equation, the heat equatio…

  • Applied Stochastic Control of Jump Diffusions

    Applied Stochastic Control of Jump Diffusions
    av Bernt Oksendal

    Häftad - 2019 - Engelska - ISBN: 9783030027797

    Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle…