[PDF.74bj] Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability)

Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability)

[PDF.ag32] Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability)

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 | #387155 in Books |  Springer |  2009-07-21 | Original language:English | PDF # 1 |  9.21 x.63 x6.14l,1.10 | File type: PDF | 232 pages

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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 di...

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