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Continuous-time Stochastic Control and Optimization with Financial Applications

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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  • Språk:
  • Engelsk
  • ISBN:
  • 9783540894995
  • Bindende:
  • Hardback
  • Sider:
  • 232
  • Utgitt:
  • 18 juni 2009
  • Utgave:
  • 2009
  • Dimensjoner:
  • 165x243x20 mm.
  • Vekt:
  • 544 g.
  Gratis frakt
Leveringstid: Ukjent

Beskrivelse av 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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