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Stochastic Difierential Equations

Stochastic Difierential Equations

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10, 11 and 12. The flgure is a ... lem in terms of stochastic difierential equations, and we apply the results of Chapters VII and VIII to show that the problem can be reduced to solving the (deterministic) Hamilton-Jacobi-Bellman equation. As an illustration we solve a problem about optimal portfolio selection.

  Equations, Difierential, Stochastic, Stochastic difierential equations

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