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...
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
New York, NY :
Springer New York : Imprint: Springer
[20..].
Cham : Springer Nature |
| Serier: | Fields Institute Monographs
29 |
| Fag: | |
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
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 |
Indholdsfortegnelse:
- 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