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...
Guardat en:
| Autor principal: | |
|---|---|
| Format: | Livre numérique |
| Idioma: | Anglais |
| Publicat: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edició: | 1st ed. 2009. |
| Col·lecció: | Stochastic Modelling and Applied Probability
61 |
| Accés en línia: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
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 |
Taula de continguts:
- 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