(Mobile library) Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability)
• Huyên Pham •
| #648517 in Books | Springer | 2009-07-21 | Original language:English | PDF # 1 | 9.21 x.63 x6.14l,1.10 | File Name: 3540894993 | 232 pages |
||From the Back Cover||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 stoc
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 finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic d...
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