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) By Huyên Pham Cover Image

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

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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