Continuous-Time Stochastic Control and Optimization with Financial Applications |
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| Author:
| Pham, Huyên |
| Series title: | Stochastic Modelling and Applied Probability Ser. |
| ISBN: | 978-3-540-89499-5 |
| Publication Date: | Jun 2009 |
| Publisher: | Springer Berlin / Heidelberg
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| Imprint: | Springer |
| Book Format: | Hardback |
| List Price: | USD $79.99 |
Book Description:
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This text provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations and martingale duality methods.
This text provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations and martingale duality methods.