Pham, Huyên
Continuous-time Stochastic Control and Optimization with Financial Applications
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
Avainsanat: 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
- Tekijä(t)
- Pham, Huyên
- Julkaisija
- Springer
- Julkaisuvuosi
- 2009
- Kieli
- en
- Painos
- 1
- Sarja
- Stochastic Modelling and Applied Probability
- Sivumäärä
- 17 sivua
- Kategoria
- Eksaktit luonnontieteet
- Tiedostomuoto
- E-kirja
- eISBN (PDF)
- 9783540895008
