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Continuous-Time Stochastic Control and Optimization with Financial Applications

Continuous-Time Stochastic Control and Optimization with Financial Applications

Paperback

Series: Stochastic Modelling and Applied Probability, Book 61

Investing & FinanceApplicationsGeneral Mathematics

ISBN10: 3642100449
ISBN13: 9783642100444
Publisher: Springer Nature
Published: Oct 19 2010
Pages: 232
Weight: 0.79
Height: 0.53 Width: 6.14 Depth: 9.21
Language: English
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.

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