Optimal stochastic control, stochastic target problems, and backward SDE
This book collects some recent developments in stochastic control theory with applications to financial mathematics. In the first part of the volume, standard stochastic control problems are addressed from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis...
Zapisane w:
| Główni autorzy: | , |
|---|---|
| Format: | Livre numérique |
| Język: | Anglais |
| Wydane: |
New York, NY :
Springer New York : Imprint: Springer
[20..].
Cham : Springer Nature |
| Seria: | Fields Institute Monographs
29 |
| Hasła przedmiotowe: | |
| Dostęp online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Komentarz: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Optimal stochastic control, stochastic target problem, and backward SDE, Nizar Touzi, New York, Springer, 2013, 1 vol. (X-214 p.), Fields institute monographs, 978-1-4614-4285-1 |
| LEADER | 04766nam a22003977a 4500 | ||
|---|---|---|---|
| 001 | 949659 | ||
| 008 | 130325q2000 xxe ||| |||| 00| 0 eng d | ||
| 009 | PPN16829978X | ||
| 020 | |a 9781461442868 | ||
| 020 | |a 9781461442868 | ||
| 041 | 0 | |a eng | |
| 082 | |a 519 | ||
| 084 | |a 03C64. 2010 | ||
| 084 | |a 14P15. 2010 | ||
| 084 | |a 26A12. 2010 | ||
| 100 | 1 | |a Touzi, Nizar, |d 1968- | |
| 245 | 1 | 0 | |a Optimal stochastic control, stochastic target problems, and backward SDE |c by Nizar Touzi ; with chapter 13 by Agnès Tourin. |
| 260 | |a New York, NY : |b Springer New York : |b Imprint: Springer. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Fields Institute Monographs |v 29 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 0 | |a aPreface -- 1. Conditional Expectation and Linear Parabolic PDEs -- 2. Stochastic Control and Dynamic Programming -- 3. Optimal Stopping and Dynamic Programming -- 4. Solving Control Problems by Verification -- 5. Introduction to Viscosity Solutions -- 6. Dynamic Programming Equation in the Viscosity Sense -- 7. Stochastic Target Problems -- 8. Second Order Stochastic Target Problems -- 9. Backward SDEs and Stochastic Control -- 10. Quadratic Backward SDEs -- 11. Probabilistic Numerical Methods for Nonlinear PDEs -- 12. Introduction to Finite Differences Methods -- References | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a This book collects some recent developments in stochastic control theory with applications to financial mathematics. In the first part of the volume, standard stochastic control problems are addressed from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on regularity issues and, in particular, on the behavior of the value function near the boundary. Then a quick review of the main tools from viscosity solutions allowing one to overcome all regularity problems is provided. The second part is devoted to the class of stochastic target problems, which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows; namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part presents an overview of backward stochastic differential equations and their extensions to the quadratic case. Backward stochastic differential equations are intimately related to the stochastic version of Pontryagin s maximum principle and can be viewed as a strong version of stochastic target problems in the non-Markov context. The main applications to the hedging problem under market imperfections, the optimal investment problem in the exponential or power expected utility framework, and some recent developments in the context of a Nash equilibrium model for interacting investors, are presented. The book concludes with a review of the numerical approximation techniques for nonlinear partial differential equations based on monotonic schemes methods in the theory of viscosity solutions | ||
| 650 | |a Probabilités | ||
| 650 | |a Équations différentielles stochastiques | ||
| 700 | 1 | |a Tourin, Agnès, |d 19..- |4 aut | |
| 776 | 0 | |0 165944919 |t Optimal stochastic control, stochastic target problem, and backward SDE |f Nizar Touzi |c New York |n Springer |d 2013 |p 1 vol. (X-214 p.) |s Fields institute monographs |z 978-1-4614-4285-1 | |
| 856 | 4 | |q PDF |u https://doi.org/10.1007/978-1-4614-4286-8 |z Accès sur la plateforme de l'éditeur | |
| 856 | 4 | |u https://revue-sommaire.istex.fr/ark:/67375/8Q1-HN3NB89K-M |z Accès sur la plateforme Istex | |
| 856 | 4 | |5 452349901:748112189 |u https://ezproxy.univ-orleans.fr/login?url=https://doi.org/10.1007/978-1-4614-4286-8 |z Accès Université d'Orléans | |
| 856 | 4 | |5 180339901:751566705 |u https://ezproxy.insa-cvl.fr/login?qurl=https://doi.org/10.1007/978-1-4614-4286-8 |z Accès INSA CVL | |
| 997 | |0 949659 |1 Livre numérique |a Ressource numérique |b INSA |b ENSA |c 0/Bibliothèque numérique/ |c 1/Bibliothèque numérique/Autre ressource numérique/ | ||