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Touzi, Nizar

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

Touzi, Nizar - Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE, ebook

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ISBN: 9781461442868
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Table of contents

1. Introduction
Nizar Touzi

2. Conditional Expectation and Linear Parabolic PDEs
Nizar Touzi

3. Stochastic Control and Dynamic Programming
Nizar Touzi

4. Optimal Stopping and Dynamic Programming
Nizar Touzi

5. Solving Control Problems by Verification
Nizar Touzi

6. Introduction to Viscosity Solutions
Nizar Touzi

7. Dynamic Programming Equation in the Viscosity Sense
Nizar Touzi

8. Stochastic Target Problems
Nizar Touzi

9. Second Order Stochastic Target Problems
Nizar Touzi

10. Backward SDEs and Stochastic Control
Nizar Touzi

11. Quadratic Backward SDEs
Nizar Touzi

12. Probabilistic Numerical Methods for Nonlinear PDEs
Nizar Touzi

13. Introduction to Finite Differences Methods
Agnès Tourin

Keywords: Mathematics, Quantitative Finance, Probability Theory and Stochastic Processes, Partial Differential Equations, Calculus of Variations and Optimal Control, Optimization

Author(s)
Publisher
Springer
Publication year
2013
Language
en
Edition
2013
Series
Fields Institute Monographs
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9781461442868

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