Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

This book collects some recent developments in stochastic control theory with applications to financial mathematics. In the first part of the volume, standard stochastic control problems are addressed from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Touzi, Nizar (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer New York : Imprint: Springer, 2013.
Edición:1st ed. 2013.
Colección:Fields Institute Monographs, 29
Temas:
Social sciences > Mathematics.
Probabilities.
Differential equations.
Mathematical optimization.
Calculus of variations.
Mathematics in Business, Economics and Finance.
Probability Theory.
Differential Equations.
Calculus of Variations and Optimization.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Preface
  • 1. Conditional Expectation and Linear Parabolic PDEs
  • 2. Stochastic Control and Dynamic Programming
  • 3. Optimal Stopping and Dynamic Programming
  • 4. Solving Control Problems by Verification
  • 5. Introduction to Viscosity Solutions
  • 6. Dynamic Programming Equation in the Viscosity Sense
  • 7. Stochastic Target Problems
  • 8. Second Order Stochastic Target Problems
  • 9. Backward SDEs and Stochastic Control
  • 10. Quadratic Backward SDEs
  • 11. Probabilistic Numerical Methods for Nonlinear PDEs
  • 12. Introduction to Finite Differences Methods
  • References.

Ejemplares similares