Touzi, Nizar
Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
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
Nyckelord: Mathematics, Quantitative Finance, Probability Theory and Stochastic Processes, Partial Differential Equations, Calculus of Variations and Optimal Control, Optimization
- Författare
- Touzi, Nizar
- Utgivare
- Springer
- Utgivningsår
- 2013
- Språk
- en
- Utgåva
- 2013
- Serie
- Fields Institute Monographs
- Sidantal
- 10 sidor
- Kategori
- Naturvetenskaper
- Format
- E-bok
- eISBN (PDF)
- 9781461442868