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1. Applied Stochastic Control of Jump Diffusions
by Bernt Oksendal, Agn?'s Sulem
Here is a rigorous introduction to solution methods of stochastic control problems for jump diffusions. The 2nd edition adds a chapter on optimal ... More
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2. Stochastic Differential Equations: An Introduction with Applications
by Bernt Oksendal
From the reviews: "The author, a lucid mind with a fine pedagogical instinct, has written a splendid text. He starts out by stating six problems in ... More
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3. Stochastic Models and Option Values: Applications to Resources, Environment and Investment Problems Cea 200contributions to Economic Analysis Vol.200
by Bernt Oksendal, D Lund (Editor), Professor David Clark (Editor)
This book is a result of recent developments in several fields. Mathematicians, statisticians, finance theorists, and economists found several ... More
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4. Malliavin Calculus for Levy Processes with Applications to Finance
by Giulia Di Nunno, Bernt Oksendal, Frank Proske
This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It ... More
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5. Stochastic Differential Equations: An Introduction with Applications
by B K Ksendal
This book gives an introduction to the basic theory of stochastic calculus and its applications. Examples are given throughout the text, in order to ... More
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6. Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach
by H Holden
The main emphasis of this work is on stochastic partial differential equations. First the stochastic Poisson equation and the stochastic transport ... More
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7. Stochastic Calculus for Fractional Brownian Motion and Applications
by Francesca Biagini
The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give ... More
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