Mathematical Control Theory and Finance

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: Sarychev, Andrey (Επιμελητής έκδοσης), Shiryaev, Albert (Επιμελητής έκδοσης), Guerra, Manuel (Επιμελητής έκδοσης), Grossinho, Maria do Rosário (Επιμελητής έκδοσης)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.
• Θέματα: Mathematics.; Finance.; Economics, Mathematical.; System theory.; Quantitative Finance.; Finance, general.; Systems Theory, Control.

This book highlights recent developments in mathematical control theory and its applications to finance. It presents a collection of original contributions by distinguished scholars, addressing a large spectrum of problems and techniques. Control theory provides a large set of theoretical and comput...

Πίνακας περιεχομένων:

• Extremals Flows and Infinite Horizon Optimization
• Laplace Transforms and the American Call Option
• Time Change, Volatility, and Turbulence
• External Dynamical Equivalence of Analytic Control Systems
• On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
• Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift
• A Stochastic Demand Model for Optimal Pricing of Non-Life Insurance Policies
• Optimality of Deterministic Policies for Certain Stochastic Control Problems with Multiple Criteria and Constraints
• Higher-Order Calculus of Variations on Time Scales
• Finding Invariants of Group Actions on Function Spaces, a General Methodology from Non-Abelian Harmonic Analysis
• Nonholonomic Interpolation for Kinematic Problems, Entropy and Complexity
• Instalment Options: A Closed-Form Solution and the Limiting Case
• Existence and Lipschitzian Regularity for Relaxed Minimizers
• Pricing of Defaultable Securities under Stochastic Interest
• Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View)
• An Approximate Solution for Optimal Portfolio in Incomplete Markets
• Carleman Linearization of Linearly Observable Polynomial Systems
• Observability of Nonlinear Control Systems on Time Scales - Sufficient Conditions
• Sufficient Optimality Conditions for a Bang-bang Trajectory in a Bolza Problem
• Modelling Energy Markets with Extreme Spikes
• Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics
• Necessary Optimality Condition for a Discrete Dead Oil Isotherm Optimal Control Problem
• Managing Operational Risk: Methodology and Prospects.