Continuous-Time Stochastic Control and Optimization with Financial Applications

Continuous-Time Stochastic Control and Optimization with Financial Applications - Paperback

Springer
SKU:
9783642100444
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ISBN13:
9783642100444
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Description
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.


  • | Author: Huyên Pham
  • | Publisher: Springer
  • | Publication Date: Oct 19, 2010
  • | Number of Pages: 232 pages
  • | Binding: Paperback or Softback
  • | ISBN-10: 3642100449
  • | ISBN-13: 9783642100444
Additional Information
Author:
Huyên Pham
Publisher:
Springer
Publication Date:
Oct 19, 2010
Number of pages:
232 pages
Binding:
Paperback or Softback
ISBN-10:
3642100449
ISBN-13:
9783642100444
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