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Continuous-time Stochastic Control and Optimization with Financial Applications

Huyên Pham
Publisher: 
Springer
Publication Date: 
2009
Number of Pages: 
232
Format: 
Hardcover
Series: 
Stochastic Modelling and Applied Probability 61
Price: 
59.95
ISBN: 
9783540894995
Category: 
Monograph
We do not plan to review this book.

Preface.- 1.Some elements of stochastic analysis.- 2.Stochastic optimization problems. Examples in finance.- 3.The classical PDE approach to dynamic programming.- 4.The viscosity solutions approach to stochastic control problems.- 5.Optimal switching and free boundary problems.- 6.Backward stochastic differential equations and optimal control.- 7.Martingale and convex duality methods.- Appendices: A.Complements of integration.- B.Convex analysis considerations.- References.- Index.

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