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Type: BOOK - Published: 2009-05-28 - Publisher: Springer Science & Business Media

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Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand,
Stochastic Controls
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As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic
Stochastic Control in Insurance
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Type: BOOK - Published: 2007-11-20 - Publisher: Springer Science & Business Media

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Yet again, here is a Springer volume that offers readers something completely new. Until now, solved examples of the application of stochastic control to actuar
Stochastic Optimization in Continuous Time
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First published in 2004, this is a rigorous but user-friendly book on the application of stochastic control theory to economics. A distinctive feature of the bo
Optimization, Control, and Applications of Stochastic Systems
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This volume provides a general overview of discrete- and continuous-time Markov control processes and stochastic games, along with a look at the range of applic