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Applied Stochastic Control of Jump Diffusions

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Cover of 'Applied Stochastic Control of Jump Diffusions'

Table of Contents

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    Book Overview
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    Chapter 1 Stochastic Calculus with Lévy Processes
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    Chapter 2 Financial Markets Modeled by Jump Diffusions
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    Chapter 3 Optimal Stopping of Jump Diffusions
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    Chapter 4 Backward Stochastic Differential Equations and Risk Measures
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    Chapter 5 Stochastic Control of Jump Diffusions Stochastic control
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    Chapter 6 Stochastic Differential Games
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    Chapter 7 Combined Optimal Stopping and Stochastic Control of Jump Diffusions
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    Chapter 8 Singular Control for Jump Diffusions
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    Chapter 9 Impulse Control of Jump Diffusions
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    Chapter 10 Approximating Impulse Control by Iterated Optimal Stopping
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    Chapter 11 Combined Stochastic Control and Impulse Control of Jump Diffusions
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    Chapter 12 Viscosity Solutions
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    Chapter 13 Optimal Control of Stochastic Partial Differential Equations and Partial (Noisy) Observation Control
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    Chapter 14 Solutions of Selected Exercises
Attention for Chapter 12: Viscosity Solutions
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