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Continuous-Time Stochastic Control and Optimization with Financial Applications|Huyên Pham

Continuous-Time Stochastic Control and Optimization with Financial Applications

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Overview

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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Details

  • ISBN-13: 9783642100444
  • ISBN-10: 3642100449
  • Publisher: Springer
  • Publish Date: October 2010
  • Dimensions: 9.21 x 6.14 x 0.53 inches
  • Shipping Weight: 0.79 pounds
  • Page Count: 232

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