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Continuous-Time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability #61) (Paperback)

Continuous-Time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability #61) Cover Image
By Huyên Pham
$79.99
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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.

Product Details
ISBN: 9783642100444
ISBN-10: 3642100449
Publisher: Springer
Publication Date: October 19th, 2010
Pages: 232
Language: English
Series: Stochastic Modelling and Applied Probability
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