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Köp båda 2 för 1297 krThis is the third volume in "The Paris-Princeton Lectures in Financial Mathematics", which publishes, on an annual basis, cutting-edge research in self-contained, expository articles from outstanding specialists, both established and upc...
L'objectif et l'originalit de ce livre est de prsenter les diffrents aspects et mthodes utiliss dans la rsolution des problmes d'optimisation stochastique avec en vue des applications plus spcifiques la finance: gestion de portefeui...
1995: PhD in applied mathematics, University Paris Dauphine 1995: Assistant Professor, University Marne-la-Valle 1999: Professor, University Paris 7 2006: Member Institut Universitaire de France
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.