Titlebook: Mathematics of Financial Markets; Robert J. Elliott,P. Ekkehard Kopp Textbook 2005Latest edition Springer-Verlag New York 2005 Black-Schol

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ess concerns both feasibility and admissibility as well as stability of the closed loop. We provide different assumptions and resulting NMPC schemes for which we can rigorously prove such robustness results and also discuss examples which show that in general robustness may fail to hold.

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ressure trace and are used as surrogate parameters for the combustion performance. Second, the combustion rate shaping is presented. For combustion rate shaping, the heat release rate is controlled in a highly time-resolved manner, thus offering a high number of degrees of freedom for combustion con

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LTV MPC, is investigated. For the LTV MPC, a QP has to be solved in each time step. This is of particular interest, because with LTV MPC already appropriate control results can be achieved for slightly nonlinear systems. To show applications of the methods presented, the chapter concludes with nume

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Robert J. Elliott,P. Ekkehard KoppAimed at those who need to understand the mathematics behind the multitude of current financial instruments used in derivative markets, including risk managers and other practitioners.Begins with the

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978-1-4419-1942-7Springer-Verlag New York 2005

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