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Continuous-time Stochastic Control and Optimization with Financial Applications

Continuous-time Stochastic Control and Optimization with Financial Applications

Huyên Pham

103,36 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2010
Materia
Probabilidad y estadística
ISBN:
9783642100444
103,36 €
IVA incluido
Disponible

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Sobre IBD

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.

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Otros libros del autor

  • Continuous-Time Stochastic Control and Optimization with Financial Applications
    Huyen Pham
    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 financ...