Huyên Pham 
Continuous-time Stochastic Control and Optimization with Financial Applications [PDF ebook] 

Ủng hộ

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 differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc.
This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.

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Mục lục

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.

Giới thiệu về tác giả

1995: Ph D in applied mathematics, University Paris Dauphine
1995: Assistant Professor, University Marne-la-Vallée
1999: Professor, University Paris 7
2006: Member Institut Universitaire de France

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Ngôn ngữ Anh ● định dạng PDF ● Trang 232 ● ISBN 9783540895008 ● Kích thước tập tin 3.2 MB ● Nhà xuất bản Springer Berlin ● Thành phố Heidelberg ● Quốc gia DE ● Được phát hành 2009 ● Có thể tải xuống 24 tháng ● Tiền tệ EUR ● TÔI 2164776 ● Sao chép bảo vệ Adobe DRM
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