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Applications of Stochastic Optimal Control to Economics and Finance
Hardcover
EconomicsGeneral MathematicsGeneral Science
ISBN13: 9783039360581
Publisher: Mdpi AG
Published: Jun 23 2020
Pages: 206
Weight: 1.42
Height: 0.69 Width: 6.69 Depth: 9.61
Language: English
This book is a collection of the papers published in the Special Issue Applications of Stochastic Optimal Control to Economics and Finance, which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book's chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used.
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