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...
Kaydedildi:
| Yazar: | |
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| Materyal Türü: | Livre numérique |
| Dil: | Anglais |
| Baskı/Yayın Bilgisi: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edisyon: | 1st ed. 2009. |
| Seri Bilgileri: | Stochastic Modelling and Applied Probability
61 |
| Online Erişim: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Not: |
Description d'après consultation du 30 mars 2012 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Continuous-time stochastic control and optimization with financial applications, Huyên Pham, Berlin, Springer, 2009, 1 vol. (XVII-232 p.), Stochastic modelling and applied probability, 3-540-89499-3 • Continuous-time Stochastic Control and Optimization with Financial Applications, Texte imprimé, 9783540895015 • Continuous-time Stochastic Control and Optimization with Financial Applications, Texte imprimé, 9783642100444 • Continuous-time stochastic control and optimization with financial applications, Huyên Pham, Berlin, Springer, 2009, 1 vol. (XVII-232 p.), Stochastic modelling and applied probability, 3-540-89499-3 |
| Özet: | 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 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. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance |
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| Diğer Bilgileri: | Description d'après consultation du 30 mars 2012 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliyografya: | Bibliogr. Index |
| ISBN: | 9783540895008 |
| ISSN: | 2197-439X |
| Erişim: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |