Continuous-time Stochastic Control and Optimization with Financial Applications

• Main Author: Pham, Huyên (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Stochastic Modelling and Applied Probability, 61
• Subjects: Mathematics.; Game theory.; Economics, Mathematical.; System theory.; Mathematical optimization.; Calculus of variations.; Probabilities.; Probability Theory and Stochastic Processes.; Optimization.; Calculus of Variations and Optimal Control; Optimization.; Quantitative Finance.; Systems Theory, Control.; Game Theory, Economics, Social and Behav. Sciences.

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment...