Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

• Κύριος συγγραφέας: Touzi, Nizar (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: New York, NY : Springer New York : Imprint: Springer, 2013.
• Σειρά: Fields Institute Monographs, 29
• Θέματα: Mathematics.; Partial differential equations.; Economics, Mathematical.; Calculus of variations.; Probabilities.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Partial Differential Equations.; Calculus of Variations and Optimal Control; Optimization.

This book collects some recent developments in stochastic control theory with applications to financial mathematics. In the first part of the volume, standard stochastic control problems are addressed from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis...

Πίνακας περιεχομένων:

• Preface
• 1. Conditional Expectation and Linear Parabolic PDEs
• 2. Stochastic Control and Dynamic Programming
• 3. Optimal Stopping and Dynamic Programming
• 4. Solving Control Problems by Verification
• 5. Introduction to Viscosity Solutions
• 6. Dynamic Programming Equation in the Viscosity Sense
• 7. Stochastic Target Problems
• 8. Second Order Stochastic Target Problems
• 9. Backward SDEs and Stochastic Control
• 10. Quadratic Backward SDEs
• 11. Probabilistic Numerical Methods for Nonlinear PDEs
• 12. Introduction to Finite Differences Methods
• References.