| #3301822 in Books | Springer | 2012-09-27 | Original language:English | PDF # 1 | 9.21 x.56 x6.14l,1.09 | File type: PDF | 214 pages | |
This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to ove...
You can specify the type of files you want, for your gadget.Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (Fields Institute Monographs) | Nizar Touzi. I have read it a couple of times and even shared with my family members. Really good. Couldnt put it down.
