Continuous-time Stochastic Control and Optimization with Financial Applications

By Huyen Pham

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.

• Format: Paperback
• Language: English
• ISBN: 3642100449
• ISBN13: 9783642100444
• Release Date: October 2010
• Publisher: Springer
• Length: 232 Pages
• Weight: 0.79 lbs.
• Dimensions: 0.5" x 6.1" x 9.2"