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Continuous-time Stochastic Control and Optimization with Financial Applications

af Huyen Pham

indgår i Stochastic Modelling and Applied Probability serien

Continuous-time Stochastic Control and Optimization with Financial Applications af Huyen Pham
Bag om Continuous-time Stochastic Control and Optimization with Financial Applications

This text provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations and martingale duality methods.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783540894995
  • Indbinding:
  • Hardback
  • Sideantal:
  • 232
  • Udgivet:
  • 18. Juni 2009
  • Udgave:
  • 2009
  • Størrelse:
  • 165x243x20 mm.
  • Vægt:
  • 544 g.
  • 2-3 uger.
  • 9. Oktober 2024
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This text provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations and martingale duality methods.

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