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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

Publisher: 
Springer
Number of Pages: 
214
Price: 
119.00
ISBN: 
9781461442851
Date Received: 
Tuesday, October 16, 2012
Reviewable: 
No
Include In BLL Rating: 
No
Nizar Touzi
Series: 
Fields Institute Monographs 29
Publication Date: 
2013
Format: 
Hardcover
Category: 
Monograph

Preface.- 1. Conditional Expectation and Linear Parabolic PDEs.- 2. Stochastic Control and Dynamic Programming.- 3. Optimal Stopping and Dynamic Programming.- 4. Solving Control Problems by Verification.- 5. Introduction to Viscosity Solutions.- 6. Dynamic Programming Equation in the Viscosity Sense.- 7. Stochastic Target Problems.- 8. Second Order Stochastic Target Problems.- 9. Backward SDEs and Stochastic Control.- 10. Quadratic Backward SDEs.- 11. Probabilistic Numerical Methods for Nonlinear PDEs.- 12. Introduction to Finite Differences Methods.- References.

Publish Book: 
Modify Date: 
Tuesday, October 16, 2012

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