Continuous-time Stochastic Control and Optimization with - download pdf or read online

By Huyên Pham

ISBN-10: 3540894993

ISBN-13: 9783540894995

ISBN-10: 3642100449

ISBN-13: 9783642100444

Stochastic optimization difficulties come up in decision-making difficulties lower than uncertainty, and locate a variety of functions in economics and finance. nevertheless, difficulties in finance have lately ended in new advancements within the thought of stochastic keep watch over. This quantity presents a scientific therapy of stochastic optimization difficulties utilized to finance via featuring the several current equipment: dynamic programming, viscosity strategies, backward stochastic differential equations, and martingale duality equipment. the speculation is mentioned within the context of modern advancements during this box, with entire and exact proofs, and is illustrated via concrete examples from the realm of finance: portfolio allocation, choice hedging, genuine innovations, optimum funding, and so forth. This publication is directed in the direction of graduate scholars and researchers in mathematical finance, and also will profit utilized mathematicians drawn to monetary functions and practitioners wishing to grasp extra concerning the use of stochastic optimization equipment in finance.

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


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