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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Touzi, Nizar (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: New York, NY : Springer New York : Imprint: Springer, 2013.
Edition:1st ed. 2013.
Series:Fields Institute Monographs, 29
Subjects:
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.
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