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Pham, Huyên

Continuous-time Stochastic Control and Optimization with Financial Applications

Pham, Huyên - Continuous-time Stochastic Control and Optimization with Financial Applications, ebook

49,60€

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ISBN: 9783540895008
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Table of contents

1. Some elements of stochastic analysis
Huyên Pham

2. Stochastic optimization problems. Examples in finance
Huyên Pham

3. The classical PDE approach to dynamic programming
Huyên Pham

4. The viscosity solutions approach to stochastic control problems
Huyên Pham

5. Optimal switching and free boundary problems
Huyên Pham

6. Backward stochastic differential equations and optimal control
Huyên Pham

7. Martingale and convex duality methods
Huyên Pham

Keywords: Mathematics, Calculus of Variations and Optimal Control, Optimization, Game Theory, Economics, Social and Behav. Sciences, Systems Theory, Control, Probability Theory and Stochastic Processes, Quantitative Finance

Author(s)
Publisher
Springer
Publication year
2009
Language
en
Edition
1
Series
Stochastic Modelling and Applied Probability
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783540895008

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