Continuous-time Stochastic Control and Optimization with Financial Applications

• Κύριος συγγραφέας: Pham, Huyên (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Σειρά: Stochastic Modelling and Applied Probability, 61
• Θέματα: 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...

Πίνακας περιεχομένων:

• Some elements of stochastic analysis
• Stochastic optimization problems. Examples in finance
• The classical PDE approach to dynamic programming
• The viscosity solutions approach to stochastic control problems
• Optimal switching and free boundary problems
• Backward stochastic differential equations and optimal control
• Martingale and convex duality methods.