Bernt Oksendal Libri

The book delves into fractional Brownian motion (fBm), highlighting its applications across various fields such as biology and finance. It provides a thorough exploration of stochastic calculus for fBm, detailing various definitions of stochastic integration and their interconnections. While the content assumes a background in probability theory and stochastic analysis, essential mathematical concepts are revisited in the appendices. This resource serves as a crucial reference for graduate students and researchers in multiple disciplines, including mathematics, physics, and engineering.

This book provides a thorough introduction to stochastic control methods for jump diffusions, focusing on dynamic programming and the stochastic maximum principle. It includes verification theorems, applications in finance, and exercises with solutions. The updated 3rd edition features new chapters on financial markets and advanced control topics.

Focuses on combinatorial problems in mathematical competitions. This work provides basic knowledge on how to solve combinatorial problems in mathematical competitions, and also introduces solutions to combinatorial problems and some typical problems with often-used solutions.