Continuous-time Stochastic Control and Optimization with Financial Applications

AvHuyên Pham

Inbunden, Engelska, 2009

Del 61 i serien Stochastic Modelling and Applied Probability

813 kr

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Beskrivning

This text provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations and martingale duality methods.

Produktinformation

Utgivningsdatum:2009-06-18
Mått:155 x 235 x 20 mm
Vikt:544 g
Format:Inbunden
Språk:Engelska
Serie:Stochastic Modelling and Applied Probability
Antal sidor:232
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783540894995

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Mer om författaren

1995: PhD in applied mathematics, University Paris Dauphine 1995: Assistant Professor, University Marne-la-Vallee 1999: Professor, University Paris 7 2006: Member Institut Universitaire de France

Innehållsförteckning

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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