Continuous-time Stochastic Control and Optimization with Financial Applications

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Pham, Huyên (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2009.
Edición:1st ed. 2009.
Colección:Stochastic Modelling and Applied Probability, 61
Temas:
Probabilities.
Mathematical optimization.
Calculus of variations.
Social sciences-Mathematics.
System theory.
Control theory.
Game theory.
Probability Theory.
Optimization.
Calculus of Variations and Optimization.
Mathematics in Business, Economics and Finance.
Systems Theory, Control .
Game Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Some elements of stochastic analysis
  • Stochastic optimization problems. Examples in finance
  • The classical PDE approach to dynamic programming
  • The viscosity solutions approach to stochastic control problems
  • Optimal switching and free boundary problems
  • Backward stochastic differential equations and optimal control
  • Martingale and convex duality methods.

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